2018•RePEc: Research Papers in EconomicsRequires access

XTCOINTREG: Stata module for panel data generalization of cointegration regression using fully modified ordinary least squares, dynamic ordinary least squares, and canonical correlation regression methods

Ravshanbek Khodzhimatov

Abstract

xtcointreg generalizes Qunyong Wang and Na Wu's cointreg command to panel data. It does Panel Dynamic OLS (PDOLS) and Panel Fully Modified OLS (FMOLS). The main option est and a new option full is included in this documentation. For other questions consult the original cointreg's documentation.

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Key concepts: Ordinary least squares, Panel data, Generalized least squares, Cointegration, Generalization, Econometrics, Regression, Mathematics