Dear Statalisters,
I'm trying to figure out whether dynamic OLS/GLS can be carried out in Stata in
order to estimate cointegration. I have been asked this question by a colleague
(Eviews user), but so far I've been not able to help.
He is carrying out cointegration analysis by estimating the following model:
y(t)= a+bx(t)+d(x(t-1))+d(x(t+1))+e(t)
where e(t) exhibits serial correlation. He would also like to use Newey-West HAC
standard errors and covariance.
Any help will be greatly appreciated.
Best,
Giovanni Vecchi
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