Dear Statalist colleagues,
I am working with a narrow panel dataset (N <10, T = 30), where I find that the series of interest are cointegrated. I intend to obtain consistent estimators of the short-term and, particularly, long-term parameters.
Looking around, I found the Stata commands by JanDitzen that are really useful, particularly for implement the CCE estimator (either by MG or Pooled) and for my particular interest in long-term specifications: error correction, ARDL, or DL.
I did not yet test for unobserved cross-correlation, but I have some confusion from my lack of experience in panel time-series data.
I have read in some texts (for example, Baltagi and Pesaran) that when panel variables have unit roots and/or are cointegrated, what should be used are FM-OLS (Fully Modified OLS), DOLS (Dynamic OLS), or DSUR (Dynamic SUR). So I have the following two questions:
1) The number of observations allows me to consider the CCE test and estimators? In such a case, if I use CCE, would the estimators also be consistent for cointegrated variables (like FM-OLS, DOLS, or DSUR)?
2) If the better option is to apply any of these estimators: FM-OLS, DOLS, do you know any Stata command (in the release or community ADO) that estimates them?
I really appreciate any help and/or opinion on this topic.
Thanks.
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