different recursive OLS result from EViews 5 and EViews 6
Posted: Thu Oct 22, 2009 3:32 am
Hi,
I am using recursive OLS for two stage cointegration by following command
equation eq01.ls y=(1)+c(2)*x
eq01.rls(r,s)
series re01=r_res
equation co01.ls y-y(-1)=c(4)*re01(-1)+c(5)*(x-x(-1))
co01.rls(c,s)
However, I obtain different results for the recursive coefficient from EViews 5 and EViews 6.
The same problem happens on the one stage cointegration relationship as well.
equation eq02.ls y-y(-1)=c(7)+c(8)*y(-1)+c(9)*x(-1)+c(5)*(x-x(-1))
eq02.rls(c,s)
I really could not figure out why these two version of EViews give different results.
Thank you very much for any helps.
I am using recursive OLS for two stage cointegration by following command
equation eq01.ls y=(1)+c(2)*x
eq01.rls(r,s)
series re01=r_res
equation co01.ls y-y(-1)=c(4)*re01(-1)+c(5)*(x-x(-1))
co01.rls(c,s)
However, I obtain different results for the recursive coefficient from EViews 5 and EViews 6.
The same problem happens on the one stage cointegration relationship as well.
equation eq02.ls y-y(-1)=c(7)+c(8)*y(-1)+c(9)*x(-1)+c(5)*(x-x(-1))
eq02.rls(c,s)
I really could not figure out why these two version of EViews give different results.
Thank you very much for any helps.