[问答] 如何做协整的FMOLS和DOLS估计？ [推广有奖]

11楼

shilianglan 发表于 2010-6-2 22:24:11

Mean Group Panel FMOLS Estimation
   LHS Variable TFEE
   Individuals             6
   Time Periods          15
   Kernel Width Computed
   common time dummies NOT included

   RHS Variable H0 Coefficient
   TECHCH          0.000000
   PECH             0.000000
   SECH             0.000000

Member Variable    Coefficient t-Statistic
No.1 TECHCH          -0.416434 -0.525228
   PECH             0.677875 1.098101
   SECH             -1.300820 -1.684042
No.2 TECHCH          -0.212439 -1.979077
   PECH             0.431684 3.063310
   SECH             -0.362478 -2.411850
No.3 TECHCH          -0.321638 -1.098204
   PECH             -1.287639 -3.140108
   SECH             -2.135436 -1.763653
No.4 TECHCH          -1.348373 -3.487620
   PECH             0.302420 1.025321
   SECH             -1.016376 -2.129472
No.5 TECHCH          -0.170884 -0.223366
   PECH             -0.110915 -0.167485
   SECH             1.583351 2.143447
No.6 TECHCH          -0.814405 -1.542885
   PECH             0.062770 0.086806
   SECH             -1.158347 -0.958732
*************
Group  TECHCH          -0.547362 -3.615602
   PECH             0.012699 0.802593
   SECH             -0.731684 -2.777845

12楼

shilianglan 发表于 2010-6-3 19:02:26

The Fully-Modified Estimators
The FM_beta1 is:  0.0842
The t-ratio1 is:  4.3715          probabiltiy(t)=  0.0000 probability(N)= 0.0000
The FM_beta2 is:  0.1033
The t-ratio2 is:  3.1842          probabiltiy(t)=  0.0008 probability(N)= 0.0007
R square is:  0.5560
Adjusted Rsquare is:  0.5540
The Dynamic OLS Estimators
The DOLS_beta1 is:  0.1069
The t-ratio1 is:  4.6721          probabiltiy(t)=  0.0000 probability(N)= 0.0000
The DOLS_beta2 is:  0.0558
The t-ratio2 is:  1.4503          probabiltiy(t)=  0.0740 probability(N)= 0.0735

13楼

shilianglan 发表于 2010-6-4 06:33:28

____________________________________________________________________
   Reference: Cointegration Vector Estimation by Panel DOLS
      and Long-run Money Demand
      Mark: Mark.1@osu.edu    Sul: d.SUL@Auckland.ac.nz
                  Version: 2.0  Date: Nov 26, 2002.
______________________________________________________________________

Model: y(it) = c(i) + A1*x(it) + A2*z(it) + u(it)

_______________________ ESTIMATION RESULTS __________________________

__________________ Dynamic OLS for Single Equation ___________________

eq No. A1    S.E.    S.E    A2    S.E.    S.E
            Param Andrews       Param Andrews
_______________________________________________________________________
  1.000 0.444 0.052 0.044  -0.033 0.007 0.006
  2.000 1.508 0.234 0.219  -0.071 0.020 0.019
  3.000 0.947 0.120 0.116  -0.024 0.021 0.021
  4.000 0.204 0.164 0.157 0.006 0.028 0.027
  5.000 1.454 0.112 0.113  -0.032 0.008 0.008
  6.000 0.727 0.115 0.110 0.010 0.012 0.011
  7.000 1.520 0.057 0.054  -0.014 0.010 0.010
  8.000 1.075 0.108 0.096  -0.033 0.017 0.015
  9.000 1.816 0.325 0.302  -0.070 0.035 0.033
10.000 1.002 0.119 0.115  -0.055 0.014 0.013
11.000 1.187 0.147 0.136  -0.046 0.021 0.019
12.000 0.935 0.252 0.331 0.002 0.052 0.068
13.000 1.159 2.046 2.001  -0.012 0.110 0.108
14.000 0.599 0.090 0.085  -0.009 0.003 0.003
15.000 0.545 0.095 0.101 0.022 0.013 0.014
16.000 0.470 0.139 0.128  -0.031 0.015 0.014
17.000 1.177 0.103 0.091  -0.025 0.011 0.009
18.000 0.964 0.078 0.073  -0.044 0.008 0.007
19.000 1.670 0.459 0.442  -0.082 0.025 0.024
_______________________________________________________________________

____________________________ Pooled  OLS ______________________________

         Ordinary          Common Time Effect
   PDOLS S.E. S.E PDOLS S.E. S.E.
         Param  Andrews  Param Param  Andrews
_______________________________________________________________________
A1  0.892 0.126 0.137 0.832 0.114 0.119
A2 -0.019 0.008 0.008  -0.014 0.006 0.006
_______________________________________________________________________

S.E. Andrews : Standard error based on Andrews and Monahan's Pre-whitening method
S.E. Param : Standard error based on parametric correction

14楼

carweed 发表于 2010-7-16 21:28:54

13# shilianglan 楼上的能否发一下方法啊？

15楼

lone110 发表于 2010-12-8 16:06:49

_ker_fun=&fejer;
>> n=5;t=8;k=7;
>> load y[t,n]=d:\1.txt;
>> load x[t,n*k]=d:\2.txt;
>> library panel coint;
>> output file=d:\dd.txt on;
>> format /rd 10,4;
>> fm_rd (y,x,3);
为什么显示 “Undefined symbols: y ”？？？

16楼

zhangtao 发表于 2011-2-9 09:44:40

11楼的朋友，我要做能源效率TFP，请问您的
Mean Group Panel FMOLS Estimation
LHS Variable TFEE
   Individuals             6
   Time Periods          15
   Kernel Width Computed
   common time dummies NOT included

是如何做出来的？方法是什么？
非常感谢！

17楼

zhangtao 发表于 2011-2-9 09:45:12

11# shilianglan

11楼的朋友，我要做能源效率TFP，请问您的
Mean Group Panel FMOLS Estimation
LHS Variable TFEE
   Individuals             6
   Time Periods          15
   Kernel Width Computed
   common time dummies NOT included
RHS Variable H0 Coefficient
   TECHCH          0.000000
   PECH             0.000000
   SECH             0.000000
Member Variable    Coefficient t-Statistic
No.1 TECHCH          -0.416434 -0.525228
   PECH             0.677875 1.098101
   SECH             -1.300820 -1.684042
No.2 TECHCH          -0.212439 -1.979077
   PECH             0.431684 3.063310
   SECH             -0.362478 -2.411850
No.3 TECHCH          -0.321638 -1.098204
   PECH             -1.287639 -3.140108
   SECH             -2.135436 -1.763653
No.4 TECHCH          -1.348373 -3.487620
   PECH             0.302420 1.025321
   SECH             -1.016376 -2.129472
No.5 TECHCH          -0.170884 -0.223366
   PECH             -0.110915 -0.167485
   SECH             1.583351 2.143447
No.6 TECHCH          -0.814405 -1.542885
   PECH             0.062770 0.086806
   SECH             -1.158347 -0.958732
*************
Group  TECHCH          -0.547362 -3.615602
   PECH             0.012699 0.802593
   SECH             -0.731684 -2.777845

是如何做出来的？方法是什么？
非常感谢！