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ok thanks. Are the t-stats given in the FMOLS regression output in Eviews FM t-stats?

Hi,

I've read on here that t-stats reported in Fully Modified OLS regression are valid under the appropriate assumptions. Can anyone tell me what these assumptions are, and point me in the direction of a reference for these assumptions?

Thanks

Ryan

Chris, that works great. Thanks for putting the effort in, you've really helped me out.

Thanks again,
Ryan

OK so if the date is 29th, 30th or 31st January then the lead should take us to 28th of Feb. Similarly if it's 31st of August the lead takes us to 30th of Sept. For all other dates we just add one to the month so 15th Jan becomes 15th Feb etc

Yes, sorry I meant lead. Ah I see what you're getting at. I'm not actually sure. The data I have is historic 1m Libor (e.g. http://www.bloomberg.com/apps/quote?ticker=BP0001M:IND) for each country, and I'm investigating uncovered interest parity so the lead on January 30th would have to correspond t...

31 days (to 30th April)

I have daily data (5day week) and I wish to generate a series by introducing a lag of one calender month (not simply 30 days) into the existing series. The reason for this is that the associated interest rate is 1month Libor with day count fraction Act/360. Can anyone suggest a way of generating thi...