dynamic OLS

[alnassero]

Dear,

I'm trying to figure out whether dynamic OLS (DOLS) can be carried out in Eviews.

[EViews Gareth]

Not currently...

[EViews Glenn]

That's not entirely correct. You could do the dynamic regression yourself (adding leads and lags as desired) and, as suggested in Zivot and Wang (2006) use Newey-West standard errors to get valid t-stats. This is not generally the variance estimator described in the literature, for example, in, Hayashi (2000), but it is a valid procedure.

[alnassero]

That's not entirely correct. You could do the dynamic regression yourself (adding leads and lags as desired) and, as suggested in Zivot and Wang (2006) use Newey-West standard errors to get valid t-stats. This is not generally the variance estimator described in the literature, for example, in, Hayashi (2000), but it is a valid procedure.

Thanks. what do you mean by leads?

[EViews Glenn]

DOLS requires that you include leads and lags of the differenced cointegrating regressors on the right-hand side of your equation (see for example, Hayashi (2000), Econometrics , p. 655 or Zivot and Wang (2006), Modeling Financial Time Series, p. 451. Hamilton (1994) also has a discussion.

[aurora]

hi,

I have a similar question. I include leads and lags of the differenced cointegrating regressors on the right-hand side of my equation. As residuals are autocorrelated, I need to use the Newey-West but unfortunatelly I think this option is not available in Eviews, not predefined.
Am I wrong and if so could you please tell me how to choose the Newey-West correction for autocorrelation when I estimate using LS-Least Squares (LS and AR)?

Thank you in advance.

[startz]

hi,

I have a similar question. I include leads and lags of the differenced cointegrating regressors on the right-hand side of my equation. As residuals are autocorrelated, I need to use the Newey-West but unfortunatelly I think this option is not available in Eviews, not predefined.
Am I wrong and if so could you please tell me how to choose the Newey-West correction for autocorrelation when I estimate using LS-Least Squares (LS and AR)?

Thank you in advance.

Click the Estimate button in the equation window, the Options tab, and choose Newey-West.

[aurora]

I am in a panel data setting, and this option is not available under Options.
Any other suggestion?
Thank you.

[EViews Gareth]

It is true that we don't offer NW corrections in panel estimation.