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Hello,

I would like to apply DOLS according to Mark and Sul's Paper: "Cointegration Vector Estimation by Panel DOLS and Long-run Money Demand", but I am not sure about two things. I would be very grateful if someone helped me out with the following:

1) What are the right settings for DOLS according to Mark and Sul (in general)? Is it "panel method: pooled (weighted)"?

2) How do I know or in other words find out how many lags and leads I should select? Given that "[w]e urge careful thought in the use of automatic selection methods since the purpose of including leads and lags is to remove long-run dependence by orthogonalizing the equation residual with respect to the history of stochastic regressor innovations; the automatic methods were not designed to produce this effect." (EViews 8 Users Guide II, p. 243)

General informations regarding my panel data:
The frequency of my panel data is quarterly and comprises 25 years as well as 9 countries.

Thank you very much for your help in advance.

1. The published Mark and Sul paper uses pooled. The working paper uses both pooled, and pooled (weighted).

2. That's a difficult question which the literature doesn't really address.