* Co-integration analysis for XR dynamics
*----------------------------------------

version 15.1
set more off
cd "C:\..."	// Set the directory
capture log close
log using xrdynamics.smcl, replace

clear

*Import the data from Excel

import ///
excel "C:\...\EXCEL-2015.xlsx", ///
sheet("data_fin") firstrow // Note 1

*Install User-Written Stata Programs

capture ssc install pescadf // Note 2
capture ssc install xtwest
capture ssc install xtpmg
capture ssc install xtmg
capture ssc install ltimbimata
capture ssc install xtdolshm
capture ssc install outreg2

*Generate variable in logarithm

generate logreer = ln(reer)
generate logfeer = ln(feer)
generate logreer_cs = ln(reer_cs)
generate logfeer_cs = ln(feer_cs)

*Panel setting (N=26; T=29; N*T=754)

xtset country period, yearly

*UNIT ROOT TEST
*CADF test (Pesaran, 2007)

pescadf  logfeer, lags(1) trend
pescadf  logreer, lags(1) trend
pescadf  d.logfeer, lags(1) trend
pescadf  d.logreer, lags(1) trend

*COINTEGRATION TESTS
*Persyn & Westerlund (2008)

xtwest logreer logfeer, lags (0 2) 
xtwest logfeer logreer, lags (0 2)

set matsize 800

xtwest logreer logfeer, lags (0 2) bootstrap(100)
xtwest logfeer logreer, lags (0 2) bootstrap(100)

*ESTIMATION OF THE ERROR-CORRECTION MODEL THANKS TO
*THE PMG (CPMG) ESTIMATOR
*PESARAN et al. (1999)

xtpmg d.logreer d.logfeer, ///
lr(l.logreer logfeer) ec(ec) replace pmg

outreg2 using results_pmg_1, ///
excel pvalue replace ///
cttop(D.logreer) addnote(Notes:) // Note 2

*dmg = dynamic mg estimator

xtpmg d.logreer d.logfeer, ///
lr(l.logreer logfeer) ec(ec) replace mg

outreg2 using results_dmg_1, excel ///
pvalue replace cttop(D.logreer) addnote(Notes:)

hausman mg pmg, sigmamore

xtpmg d.logfeer d.logreer, ///
lr(l.logfeer logreer) ec(ec) replace pmg

outreg2 using results_pmg_2, /// 
excel pvalue replace ///
cttop(D.logfeer) addnote(Notes:)

*dmg = dynamic mg estimator

xtpmg d.logfeer d.logreer, ///
lr(l.logfeer logreer) ec(ec) replace mg

outreg2 using results_dmg_2, ///
excel pvalue replace ///
cttop(D.logfeer) addnote(Notes:)

hausman mg pmg, sigmamore

xtpmg d.logreer d.logfeer d.logreer_cs d.logfeer_cs, /// 
lr(l.logreer logfeer l.logreer_cs logfeer_cs) ///
ec(ec) replace pmg

outreg2 using results_cpmg_1, ///
excel pvalue replace ///
cttop(D.logreer) addnote(Notes:)

xtpmg d.logreer d.logfeer d.logreer_cs d.logfeer_cs, ///
lr(l.logreer logfeer l.logreer_cs logfeer_cs) ///
ec(ec) replace mg

outreg2 using results_cdmg_1, ///
excel pvalue replace ///
cttop(D.logreer) addnote(Notes:)

hausman mg pmg, sigmamore

xtpmg d.logfeer d.logreer d.logfeer_cs d.logreer_cs, ///
lr(l.logfeer logreer l.logfeer_cs logreer_cs) ///
ec(ec) replace pmg

outreg2 using results_cpmg_2, ///
excel pvalue replace ///
cttop(D.logfeer) addnote(Notes:)

xtpmg d.logfeer d.logreer d.logfeer_cs d.logreer_cs, ///
lr(l.logfeer logreer l.logfeer_cs logreer_cs) ///
ec(ec) replace mg

outreg2 using results_cdmg_2, ///
excel pvalue replace ///
cttop(D.logfeer) addnote(Notes:)

hausman mg pmg, sigmamore

*STUDY SHORT RUN DYNAMICS

xtpmg d.logreer d.logfeer, ///
lr(l.logreer logfeer) ec(ec) replace pmg full

outreg2 using results_pmg_1_SR, ///
excel pvalue replace ///
cttop(D.logreer) addnote(Notes:)

xtpmg d.logfeer d.logreer, ///
lr(l.logfeer logreer) ec(ec) replace pmg full

outreg2 using results_pmg_2_SR, ///
excel pvalue replace ///
cttop(D.logfeer) addnote(Notes:)

xtpmg d.logreer d.logfeer d.logreer_cs d.logfeer_cs, ///
lr(l.logreer logfeer l.logreer_cs logfeer_cs) ///
ec(ec) replace pmg full

outreg2 using results_cpmg_1_SR, ///
excel pvalue replace ///
cttop(D.logreer) addnote(Notes:)

xtpmg d.logfeer d.logreer d.logfeer_cs d.logreer_cs, ///
lr(l.logfeer logreer l.logfeer_cs logreer_cs) ///
ec(ec) replace pmg full

outreg2 using results_cpmg_2_SR, ///
excel pvalue replace ///
cttop(D.logfeer) addnote(Notes:)

*PESARAN (2006) COMMON CORRELATED EFFECTS 
*MEAN GROUP ESTIMATOR

xtmg logreer logfeer, cce robust

outreg2 using results_ccemg_1, /// 
excel pvalue replace ///
cttop() addnote(Notes:)

xtmg logfeer logreer, ///
cce robust

outreg2 using results_ccemg_2, ///
excel pvalue replace ///
cttop() addnote(Notes:)

*PESARAN & SMITH (1995) 
*MEAN GROUP ESTIMATOR

xtmg logreer logfeer, robust

outreg2 using results_smg_1, ///
excel pvalue replace ///
cttop() addnote(Notes:)

*smg = static mg estimator

xtmg logfeer logreer, robust

outreg2 using results_smg_2, ///
excel pvalue replace ///
cttop() addnote(Notes:)

*KAO & CHIANG (2000) DOLS ESTIMATOR

xtdolshm logreer logfeer, nla(2) nle(2)
outreg2 using results_dols_1, ///
excel pvalue replace ///
cttop() addnote(Notes:)

xtdolshm logfeer logreer, nla(2) nle(2)
outreg2 using results_dols_2, ///
excel pvalue replace ///
cttop() addnote(Notes:)

// Save the data
save ///
"C:\...\xrdynamics.dta", ///
replace

log close
exit

Description
-----------

This file aims at analyzing the long run relationship
between actual REERs and equilibrium REERs. The equilibrium 
rates are obtained  thanks to a FEER approach.

Notes :
-------

1) Replace the "..." by the path of the current directory.
2) We use the capture command to override message when 
   variables are already generated or packages already 
   installed.
3) With the Excel option of the STATA command outreg2, I
   recommend using the useful package excel2latex.
4) I am grateful to Roy Wada, Markus Eberhardt,
   Damiaan Persyn, Edward F. Blackburne III, Mark W. Frank, 
   Piotr Lewandowski and Ibrahima Amadou Diallo for making 
   publicly available their STATA codes.