DOLS deterministics partialled out?
Posted: Mon Nov 14, 2016 7:51 am
Hello,
how are the deterministic terms in the DOLS estimator computed (including the deterministics that you can enter in the description field) ?
Are they partialled out as de-trended before the estimations ?
Or, are they treated as additional variables but without including their first differences, and their coefficients are simply not reported?
Thanks,
Korbi
how are the deterministic terms in the DOLS estimator computed (including the deterministics that you can enter in the description field) ?
Are they partialled out as de-trended before the estimations ?
Or, are they treated as additional variables but without including their first differences, and their coefficients are simply not reported?
Thanks,
Korbi