Regressions using FMOLS, DOLS and SOLS

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mitbob
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Joined: Mon Jun 18, 2018 4:36 am

Regressions using FMOLS, DOLS and SOLS

Postby mitbob » Mon Jun 18, 2018 8:06 am

I have a question regarding the Cointegrating Regression functionality in Eviews. My data comprises of interest rate data, which is in it's raw form, and other variables which are expressed as logs.

If you have tested for a unit root in your data and found the data was not stationary ,should you take the differenced data when running your regression or does the FMOLS, DOLS and SOLS correct for non-stationarity? My interest rate data is stationary but the other data is only stationary in it's first or second difference forms.

Also is it possible to test these equations for Heteroscedasticity? I can't see this as an option for the equation results.

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