Retrieve DOLS coefficient estimates and SEs

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Retrieve DOLS coefficient estimates and SEs

Postby londonphd » Fri Dec 29, 2017 10:44 am


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.


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