1. I don't know.

2. I don't know.

I have no particular knowledge of these types of models.

I would point out that -findit panel cointegration- points to several

user written commands :

-nharvey-: module to perform Nyblom-Harvey panel test of common stochastic

trends

-xtdolshm-: module to perform dynamic ordinary least squares for

cointegrated panel data with homogeneous covariance structure

-xtpmg-: module for estimation of nonstationary heterogeneous panels

-xtwest-: module for testing for cointegration in heterogeneous panels

Scott

On Sat, Sep 25, 2010 at 10:17 AM, wangpan110 <

[hidden email]> wrote:

> Dear Scott, can i ask you two questions, please:

>

> 1) the last condition is "the DOLS residuals must be significantly

> correlated with subsequent monthly changes in relative export prices", does

> that mean cov(Uit, Yit) is not zero? can i achieve this in STATA?

>

> 2) what is the equation for ECM under panel data( let's say i have 4

> independent variables)?

>

> your help is very appreciated

>

> pan

>

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