User’s Guide : Panel and Pooled Data : Panel Cointegration Estimation
Panel Cointegration Estimation
The analysis of long-run cointegrating relationships has received considerable attention in modern time series analysis. In this chapter, we describe EViews’ tools for estimating cointegrating relationships using panel data. We consider various forms of the residual-based panel Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS) estimators (Phillips and Moon, 1999; Pedroni, 2000, 2001; Kao and Chiang, 2000; Mark and Sul, 2003) that produce asymptotically unbiased, normally distributed coefficient estimates.
If you have not already done so, we recommend you familiarize yourself with the material in “Cointegrating Regression” which describes the closely related on-panel versions of the estimators in this chapter. In addition, Baltagi (2008), Baltagi and Kao (2000), and Breitung and Pesaran (2005) offer useful surveys of the literature.