Fully Modified OLS

[irulishka]

Hello. I was faced with a description Fully Modified OLS and this section describes some value D. Can you tell me what kind of variable?

[EViews Gareth]

I have absolutely no idea what you are asking, or to what you are referring.

[EViews Glenn]

I think I can translate. The manual discussion describes two types of variables for FMOLS D1 and D2.

The D1 are deterministic regressors not in the pre-specified list of FMOLS regressors (constant, trend, quadratic trend) that are in the cointegrating equation. D2 are deterministic regressors that are included in the regressors equations but not in the cointegrating equation that are likewise not in the pre-specified list of sets of regressors for the regressors equation.

As always, the sources that we cite with have a more detailed discussion of the specifications.

[irulishka]

Thank you. I understand that the sources give more information but I can not find them: (

Sorry for my English, it's all google translator. :D

[irulishka]

Hello
Can you help me again?:)
I want to apply the method to calculate FMOLS cointegration regression. for this is necessary to calculate V which depends on the teta. teta is estimated by the method of HAC and I appreciate it. So, how to calculate the parameter V, If I know teta?

waiting for an answer. thanks in advance.

[EViews Glenn]

Do you mean V the coefficient covariance matrix? That's provided in View/Coefficient Covariance Matrix or using the @coefcov data member of the estimated equation.

[irulishka]

Thank you. I got a true HAC variance.