Retrieve DOLS coefficient estimates and SEs
Posted: Fri Dec 29, 2017 10:44 am
Hi,
I am estimating DOLS rolling window regressions. Is it possible to retrieve the long run coefficient estimates and their standard errors for DOLS equation?
I am using the default "coef" option to store the coefficients into a separate matrix column by column, but I have not been able to retrieve the standard errors of the coefficients.
Thanks.
I am estimating DOLS rolling window regressions. Is it possible to retrieve the long run coefficient estimates and their standard errors for DOLS equation?
I am using the default "coef" option to store the coefficients into a separate matrix column by column, but I have not been able to retrieve the standard errors of the coefficients.
Thanks.