summary.pdols: A summary method for the pdols class

In pdolsms: Panel Dynamic OLS Estimation of Cointegrating Vectors

Description

A summary method for the pdols class

Usage

## S3 method for class 'pdols'
summary(object, ...)

Arguments

object	An object of class pdols
...	Further arguments passed to or from other methods.

References

Mark, N. C. and Sul, D. (2003), Cointegration Vector Estimation by Panel DOLS and Long-run Money Demand. Oxford Bulletin of Economics and Statistics, 65: 655-680. <DOI:10.1111/j.1468-0084.2003.00066.x>

Examples

data("marksul2003")
result <- pdols(formula = Y ~ X + Z - 1,
                index = c("Country", "Year"),
                data = marksul2003,
                p = 2,
                icase = "constant")
summary(result)

Example output

There were 50 or more warnings (use warnings() to see the first 50)

      ________________________________________________
      Reference: 
      Mark, Nelson C., and Donggyu Sul. 
      'Cointegration Vector Estimation by 
      Panel DOLS and Long-run Money Demand.' 
      Oxford Bulletin of Economics and Statistics 65.5 
      (2003): 655-680.
      ________________________________________________

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


Call:
pdols(formula = Y ~ X + Z - 1, data = marksul2003, index = c("Country", 
    "Year"), p = 2, icase = "constant")



Model: y(it) = c(i) + A*X(it) + u(it)


Dynamic OLS for Single Equation

                      1           2           3           4            5
X           0.428055113  1.02048858  1.24669465 0.890260289  1.019295835
SE.Param    0.062550432  0.16275361  0.18087116 0.399045143  0.419478192
SE.Andrews  0.053471543  0.14793959  0.17632677 0.496531265  0.351812544
Z          -0.034852341 -0.06194444 -0.05711850 0.008920622 -0.005855266
SE.Param    0.006542102  0.01640460  0.01951350 0.081738573  0.022727578
SE.Andrews  0.005592548  0.01491144  0.01902322 0.101707182  0.019061413
                      6          7           8            9           10
X           0.594624485 0.50608153  0.51730599  1.202652382  0.926970883
SE.Param    0.110913820 0.09392824  0.11554677  0.079267081  0.101002544
SE.Andrews  0.111861606 0.09625015  0.09388876  0.079842255  0.080194149
Z          -0.010020257 0.02214744 -0.03725921 -0.030108534 -0.043507870
SE.Param    0.003741674 0.01224244  0.01406028  0.007178824  0.008514749
SE.Andrews  0.003773648 0.01254507  0.01142483  0.007230914  0.006760553
                    11           12           13          14           15
X           1.34885907  1.738199222  0.901518252 0.134634933  1.459558834
SE.Param    0.40987373  0.356726849  0.130204734 0.163719066  0.139810731
SE.Andrews  0.38793300  0.093499504  0.128029412 0.162707475  0.129064120
Z          -0.07609720 -0.089422225 -0.009369903 0.008864251 -0.042885679
SE.Param    0.01976808  0.028480024  0.027411521 0.029399030  0.007757596
SE.Andrews  0.01870989  0.007464726  0.026953559 0.029217379  0.007161306
                   16           17          18          19
X          0.67675819  1.547416792  1.11184850  2.63847419
SE.Param   0.11370613  0.141442820  0.09362214  0.34462988
SE.Andrews 0.12220110  0.033078975  0.08482905  0.32946915
Z          0.01013685 -0.018675877 -0.04544044 -0.15981970
SE.Param   0.01051349  0.033464510  0.01673266  0.03507271
SE.Andrews 0.01129895  0.007826284  0.01516111  0.03352982


Pooled OLS - Common Time Effects

        PDOLS    SE.Param  SE.Andrews
X  0.81999125 0.100014907 0.094795637
Z -0.01685035 0.004560647 0.004239771


Pooled OLS - Ordinary

        PDOLS    SE.Param  SE.Andrews
X  0.85997167 0.129775371 0.142303597
Z -0.02031017 0.005413562 0.005503796

pdolsms documentation built on May 29, 2017, 12:36 p.m.