I'm using DOLS (Dynamic OLS) to construct an ECM Model. I was hoping for some guidance.
Long run Model
1. What form would this take? I know I need to include lags and leads but how many? How would I interpret the results?
2. When analysing the lags and leads do I need to consider the p values and chop and change as such?
3. Do I need to difference the variables?
Short run Model
Also require some help on the short run equation - I know to add the residuals from the first equation.
4. Do you need to difference?
5. How many lags do you include of dependent and independent variables?
:( help?
:)