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Hello, how are the deterministic terms in the DOLS estimator computed (including the deterministics that you can enter in the description field) ? Are they partialled out as de-trended before the estimations ? Or, are they treated as additional variables but without including their first differences...

Hello, I want to run a cointegration regression for a set of variables var1-var10 and save the coefficients of the regressors to a table: for !x = 1 to 10 table(!x,5) dolscoeff equation hello{!x}.cointreg(METHOD=DOLS,TREND=linear,LLTYPE=AIC,PANMETHOD=GROUPED) var{!x} regressor @determ detvar dolscoe...

You are right. You use the sum of the individual coefficients and divide it by the root of the sum of variances. However, this method (at least in my case) is much more restrictive and leads to lower values of the t-statistic.

Hello, I recently estimated some relationships using the grouped version of the Dynamic Ordinary Least Square Estimator (DOLS). I run the estimations using panel data, but I also calculated the coefficients as well as the t-stats from individual countryspecific estimates. I noted that these manually...