Eviews instruction page says  DOLS estimated output doesn't display the coefficients related to extra lead and lag terms that are added. It also said, if one desires to see those coefficients can do so by including these lag/lead terms (shortrun dynamics) and then use OLS. I did this  that produces same coeffcieints in the cointegrating equations with same r^2, adjr^2, se of regression. It produced same residuals. But tstats were different.
Question: Can you tell me why the differences in tstats? Is there a way to compute the same tstats as in DOLS?
Muin
DOLS  estimated equation. Corresponding OLS
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 EViews Developer
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Re: DOLS  estimated equation. Corresponding OLS
From the manual for DOLS:
http://www.eviews.com/help/helpintro.ht ... on.html%23
The problem with trying to match these results is that the OLS estimator doesn't offer an equivalent method as an option. The closest you can do is to save the residuals from the DOLS, and use the longrun variance view on the series to compute the appropriate scaling factor and then scale the OLS standard errors accordingly.
Alternatively, you can change the options on DOLS to compute a full HAC estimator for DOLS, and then compute the OLS equation using the equivalent HAC.
The default computation method rescales the ordinary least squares coefficient covariance using an estimator of the longrun variance of DOLS residuals (multiplying by the ratio of the longrun variance to the ordinary squared standard error).
http://www.eviews.com/help/helpintro.ht ... on.html%23
The problem with trying to match these results is that the OLS estimator doesn't offer an equivalent method as an option. The closest you can do is to save the residuals from the DOLS, and use the longrun variance view on the series to compute the appropriate scaling factor and then scale the OLS standard errors accordingly.
Alternatively, you can change the options on DOLS to compute a full HAC estimator for DOLS, and then compute the OLS equation using the equivalent HAC.

 Posts: 6
 Joined: Thu Feb 23, 2017 4:56 pm
Re: DOLS  estimated equation. Corresponding OLS
Hi Glenn,
As far I can tell both esimations (DOLS) and corresponding OLS use the same HAC options.
Muin
As far I can tell both esimations (DOLS) and corresponding OLS use the same HAC options.
Muin

 EViews Developer
 Posts: 2597
 Joined: Wed Oct 15, 2008 9:17 am
Re: DOLS  estimated equation. Corresponding OLS
Are you using the default DOLS coefficient variance estimator? If so, the options may be the same, but it is computing a different estimator of the coefficient variance.
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