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st: RE: cointegration analysis by dynamic GLS
Giovanni,
Estimating the regression with leads and lags using newey or newey2 will
give you the version of DOLS with Newey-West standard errors. That's all
there is to it.
Other versions of DOLS with alternative variance adjustments require
more work.
Jean Salvati
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Giovanni Vecchi
> Sent: Tuesday, February 07, 2006 7:34 AM
> To: [email protected]
> Subject: st: cointegration analysis by dynamic GLS
>
> 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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