Applied Econometrics: Panel Cointegration Estimation in EViews #paneldata #econometrics

Panel Cointegration analyzes long-run equilibrium relationships among non-stationary variables. Combining time-series and cross-sectional dimensions helps overcome spurious regressions. EViews supports Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS), producing asymptotically unbiased and normally distributed coefficient estimates. To perform this, your workfile must have a panel structure. Navigate to Quick/Estimate Equation, and choose COINTREG - Cointegrating Regression from the Method dropdown. Under the Equation specification tab, enter the dependent variable, cointegrating regressors, and define the deterministic trend (e.g., select Constant for fixed effects). Choose a panel method such as Pooled, Pooled (weighted), or Grouped mean. Adjust the lags/leads (for DOLS) or long-run variances if necessary, then click OK to estimate.