I have N:12 T:31 panel data serries. ı have 1 dependent 2 independet variables. I need to test my series cointegration. I decided to apply Carrion (2017) cointegration test . I dowlanded carrion library in github. I try to apply exaples files inside folder. I give error ;
G0528 : More returns than targets [cadfmultiple.e, line 55]
>>>>and then ı tried to adjust this code to run my series. its belows; I changed loaad data, k and bigt. and ı give same errors
new;
cls;
library carrionlib;
//**********************************************************
// Start reading your data (here we generate artificial data)
//**********************************************************
// Here we load all data for testing
// Note that this dataset is stacked
// and the cadfcoin_multiple procedure
// requires wide panel data
data = loadd("C:/Users/AK SAÇLI/Desktop/JUBİLE GAUSS/gauss içinnnn jubile.dta", "y1 + x1 + x2");
// Time periods
bigt = 31;
ncross = rows(data)/bigT;
k = 2;
// Convert dependent data
// from stacked to wide
y = reshape(data[., 1], ncross, bigT)';
// Convert independent data
// from stacked to wide
x = reshape(data[., 2]', ncross*k, bigT)';
//***************************************
// Start defining the options of the code
//***************************************
struct cadfControl cadfCtl;
// Model = 0 for the non-deterministics specification,
// 1 for the constant and 2 for the trend
cadfCtl.model = 1;
// Number of common factors
cadfCtl.numberFactors = cols(x)+1;
// Method = 1 if you include CS averages in the cointegration regression as in Holly et al. (2010).
// Method = 0 if you do not want to include them
cadfCtl.method = 0;
// Set 1 for the mean group estimator, 2 for the pooled estimator,
// which is the estimator proposed in the paper
cadfCtl.option = 1;
// Order of the autoregressive correction
cadfCtl.numlags= 3;
//**********************************************
// Running the code that computes the statistics
//**********************************************
{ panel_t_cadf, individual_t_cadf } = CADFcoin_multiple(y, x, cadfCtl);
//******************************************************************
// Printing the statistics results (panel and individual statistics)
//******************************************************************
print "Panel cointegration CCE statistic: " panel_t_cadf;
print "N Individual cointegration CCE statistic: " individual_t_cadf;
2 Answers
0
Can you run any of the other examples?
0
yes, working other examples
Your Answer
2 Answers
Can you run any of the other examples?
yes, working other examples