Panel DOLS estimation

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Panel DOLS estimation

Postby Reynaldo2007 » Thu Apr 01, 2021 8:26 pm

Dear all,

In pure time series, the DOLS estimation can include I(1) and I(0) regressors. However, the I(0) regressors should be included without leads and lags. Is this also valid for panel DOLS estimator?

If yes, how should I include the I(0) variables? I can say that when we are in the estimation equation dialog for cointegrated panels, the first part says "Dependent variable followed by list of cointegrating regressors". The second part says "Trend specification". The third says "Deterministic regressors" and the Eviews user guide says that there I can "add deterministic trend regressors that are not offered in the pre-specified list". Can I input here the I(0) regressors?

Kind regards and very much thank you in advance.

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