Stock and Watson's DGLS " cointreg "
Posted: Sat Jan 23, 2016 10:04 am
Hi,
can you add the three parts of the Weights section of the Options tab in cointegration regression, that we can help to estimate Stock and Watson's DGLS. (getting the estimated residuals using Saikkonen's method to construct the covariance matrix of the errors and then estimating the equation by GLS with Weights section).
Kind Regards.
can you add the three parts of the Weights section of the Options tab in cointegration regression, that we can help to estimate Stock and Watson's DGLS. (getting the estimated residuals using Saikkonen's method to construct the covariance matrix of the errors and then estimating the equation by GLS with Weights section).
Kind Regards.