I cannt run Banerjee, A.; Carrion-i-Silvestre Panel cointegration test (2017) in Gauss

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

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


Can you run any of the other examples?


yes, working other examples

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