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Dear all, Probably I'm wrong, but I have the feeling that there is a problem with the Hansen instability test after a DOLS estimation of cointegration parameters. Unlike with the test performed after a FM-OLS regression, it seems to me that after a DOLS regression the test cannot never reject the nu...

Dear Glenn, thank you for your reply. However, maybe I do not understand your point, but I think what you are suggesting is akin to formulate a MA specification for the signal equations (y1, y2, y3), and not for the state equation. In practice, what I am looking for should be the following: sspace d...

Hi, I'm trying to estimate a particular Dynamic Factor Model in the following state-space system: Signal Equation: y(1,t)=a(1)*F(t)+u(1,t) ... y(i,t)=a(i)*F(t)+u(i,t) State Equations: F(t)=b1*F(t-1)+b2*F(t-2)+E(t)-h*E(t-1) u(1,t)=d(i)*u(1,t-1)+w(1,t) ... u(i,t)=d(i)*u(i,t-1)+w(i,t) That is quite clo...