Peter,
The fully modified OLS was developed by Phillips and Hansen in 1990.
Their option corrects for endogeneity and serial correlation. The Newey-West
option is the closest thing to that but it does not necessarily correct
for endogeneity in a multivariate system. Perhaps the 3sls in the reg3
command would give you a close approximation.
- Regards,
Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Grant Peter Kabango <[email protected]>
Date: Wednesday, March 18, 2009 10:09 pm
Subject: Re: Re: st: fully modified OLS and dynamic OLS
To: [email protected]
> Thank you Michael.
>
> Grant
>
> -----Original Message-----
> From: Michael Hanson <[email protected]>
> To: [email protected]
> Date: Wed, 18 Mar 2009 21:57:12 -0400
> Subject: Re: st: fully modified OLS and dynamic OLS
>
> On Mar 18, 2009, at 6:37 PM, Grant Peter Kabango wrote:
>
> > I would like to estimate using the fully modified OLS (FMOLS) and
> > dynamic OLS (DOLS), and I wish to find out the Stata command for
> > these processes.
>
>
> On Mar 18, 2009, at 7:01 PM, Martin Weiss wrote:
>
> > -findit- does not return any results. Are these procedures known
> > under any other name?
>
>
> The short answers are no (to Grant: "Are FM-OLS or DOLS currently
> implemented in Stata?") and no (to Martin: "Are they known by other
> names?"). Note that this request and the corresponding response
> about alternative names reappear on Statalist roughly every year or
> two (and apparently has been more popular recently):
>
> <
> <
> <
> <
> <
>
>
> FM-OLS and DOLS are single equation estimators for cointegrated
> relationships. Given that this is a fairly specialized topic in time
>
> series analysis, I don't believe they can be found in other
> Stata .ado files under different names. (Although I would be happy
> to be proven wrong on that point.)
>
> Dynamic OLS is quite easy to implement in Stata, since it just
> involves augmenting a (super-consistent) OLS estimate of the
> cointegrating relationship with leads and lags of the RHS variable.
>
> For appropriate inference, HAC standard errors must be used. Below
> is a simple (and very stylized) example. Note that this example uses
>
> both -ivreg2- and -freduse-, which are available from SSC.
>
>
> // Begin example
>
> clear
> freduse GDPC96 PCECC96
> gen t = qofd(daten)
> format t %tq
> drop date*
> tsset t
>
> gen y = ln(GDPC96)
> gen c = ln(PCECC96)
>
> ivreg2 c y L(-4/4)D.y, bw(auto) robust
> ivregress 2sls c y L(-4/4)D.y, vce(hac nw opt)
>
> // End example
>
> The coefficient on y in each regression will be the estimate of the
> parameter B in the cointegrating vector [1 -B], such that [c y] [1 -
> B]' ~ I(0). Note that -ivreg2- will work with Stata 9 or better
> (once installed); -ivregress- was introduced in Stata 10. They
> should return identical results in the above example.
>
>
> The FM-OLS estimator is a little more sophisticated, and -- as far as
>
> I can tell -- no one has contributed a user-written version. Thus,
> your options are (1) write it yourself (see the references below --
> would be a good exercise to implement in Mata); (2) use a system
> estimator (such as -vec-); or (3) use a different statistical
> package. (For example, FM-OLS has been implemented in RATS: see
> <http://www.estima.com/
> procs_perl/panelfm.src>. Procedures may also have been written for
> R, but a quick search did not turn up anything.)
>
> Hope this helps. Perhaps the next time someone looks for the DOLS or
>
> FM-OLS estimators, they will search the mailing list archive first.
>
> -- Mike
>
>
> References:
>
> Banerjee, Anindya, et al, "Co-integration, Error-Correction, and the
>
> Econometric Analysis of Non-Stationary Data," Oxford University
> Press, 1993.
>
> Maddala, G.S. and In-Moo Kim, "Unit Roots, Cointegration, and
> Structural Change," Cambridge University Press, 1998.
>
> Phillips, Peter and Bruce Hansen, "Statistical Inference in
> Instrumental Variables Regression with I(1) Processes," Review of
> Economic Studies, v.57, 1990, pp. 99-125.
>
> Phillips, Peter, "Fully Modified Least Squares and Vector
> Autoregression," Econometrica, v.63 n.5, 1995, pp. 1023-1078.
>
> Stock, James and Mark Watson, "A Simple Estimator of Cointegrating
> Vectors in Higher Order Integrated Systems," Econometrica, v.61 n.4,
>
> 1993, pp. 783-820.
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
