home page, you will find 2 package for stata dedicated to the panel Var model. The first one

is a code and the new one is a complete program alloWing you to do the panel Var procédure

( including diagnostic tests and more option like using gmm or ols). You will need a good

computer since the panel var procedure needs à lot of memory to do the subroutine (i used it

and it took me one day to obtain results, using the built in program, so it is better to use the

code). Also please check at one of my previous post here if you want an estimation strategy

for the Pvar model i posted à link to my working paper using à Pvar model.

independence test as such >> Eviews-9 or Eviews 9.5 run first generation panel tests. Also

you can easily do cross section independece tests by these Eviews version

do the test. However, If you want to use the Mundlak test, follow these steps:

1. Create time averages variables of all your time-varying independent variables.

2. Estimate an auxiliary regression by regressing dependent variable on independent

variables plus the variables you created in (1).

3. Test the joint significance of all additional variables using Wald test.

4. If the variables are jointly signiﬁcant, then use FE estimates. If the variables are jointly

insigniﬁcant, use RE estimates. The Mundlak test can help you to decide between FE and RE

estimation.

panel ARDL ( pool mean group, mean group or dynamic fixed effect ) . The most interesting

thing about the technique is that you will have both the short and long run result together

including panel ECM. Also if go for full option it will show you the regression result per

country. xtpmg d.dv d.ivs lr(l. dv ivs) ec(ec) pmg or mg or dfe......findit xtpmg to install.......

using stata.

Most papers that applied panel cointegration analysis in decent journals have at least T = 20

observations.

(by using hausman test and chow test) that estimated by GLS, can we just ignore the

small durbin watson value (it's near 0 and probably have positive autocorrelation)?

Abdullah Sonnet commented> You can add lagged dependent variable to address the

autocorrelation problem....

Muhammad Rizky Septian commented > thank you sir for the answer any other suggestion?

because i just want to use static panel model.

Abdullah Sonnet commented> You can also use some standard errors which will be robust

against autocorrelation......but making the model dynamic would be the best one....

tests are:

1. Check for Normality

2. Chck for Multicollinearity

3. Check for Heteroscedasticity

4. Select the best model from Pooled OLS, Fixed effect and Random effect models

5. Normality can be checked through Jarqur Bara test,

6. Multicollinearity through Variance Inflation factor (VIF)

7. Heteroscedasticity through Breush Pagan test if ur data is normal and White test if not as

white test do not assume normality of data

8. To select the best model u have to run two comparisons (A) and (B) below:

A. Pooled VS Fixed effect (Select through Wald Joint Significance test) if Pooled is best then

stop here if not go for another comparison

B. Random VS Fixed (Selection through Hausman test).

In case u have the problem of Multicolinearity, You can take log of variables or u can run

ridge regression. If u have Hetero problem u can simply run Robust regression to control for

the problem during regression this is what usually panel data is treated.

But it depends on what u want to find out in your thesis. If u want to check for panel

cointegration or run ARDL model on panel then that is a part of dynamic panel data modeling

and in that case treatment will be different.

Ade Kutu

Afolabi Luqman

Abdullah Sonnet

Asad Zaman

Atiq Rehman

Burcu Özcan

Ghumro Niaz Hussain

Muhammad Anees

Mohammad Zhafran

Muzammil Bhatti

Monis Syed

Mine PD

Moulana N. Cholovik

Muili Adebayo Hamid

Nicat Gasim

Najid Iqbal

Nasiru Inuwa

Noman Arshed

Rapelanoro Nady

Seye Olasehinde-Williams

Suborno Aditya

Sayed Hossain

Shishir Sakya

Sheikh Muzammil Naseer

Tella Oluwatoba Ibrahim

Younes Azzouz

Meo School of Research

Shishir Shakya

Noman Arshed

Hossain Academy Note

Univariate Models |

Multivariate Models |

Panel Data Model |