We had a posting elsewhere on the forum asking for something in this area, so I cooked up something that some may find to be of use.
Attached is a subroutine that estimates a simple form of Fully-Modified OLS. The limitations are described in the code, but in particular it only allows for the Bartlett kernel, and assumes that there is only a constant in the cointegrating equation and no additional regressors in the cointegrating regressors equation.
It's undergone a bit of testing (but not much) and matches a variety of known results, but you should use at your own risk. Note that I don't have a lot of time to support it right now, but can answer simple questions if necessary...
There are comments in the subroutine that show you how to call it in an EViews workfile. If you are not familiar with the use of subroutines, there are examples in the EViews manual that should get you going.
Fully Modified OLS
Moderators: EViews Gareth, EViews Moderator
-
EViews Glenn
- EViews Developer
- Posts: 2672
- Joined: Wed Oct 15, 2008 9:17 am
Fully Modified OLS
- Attachments
-
- fmols_v6sub.prg
- ' *** note: this routine has undergone some testing and matches a variety
of known results but is strictly use-at-your-own-risk *** - (4.52 KiB) Downloaded 1538 times
-
EViews Glenn
- EViews Developer
- Posts: 2672
- Joined: Wed Oct 15, 2008 9:17 am
Re: Fully Modified OLS
Minor update to fix error in one of the comments
- Attachments
-
- fmols_v6sub.prg
- Correction to minor error in the example code showing how to call the routine
- (4.62 KiB) Downloaded 1420 times
Return to “Program Repository”
Who is online
Users browsing this forum: No registered users and 27 guests