Fully Modified OLS (Phillips-Hansen)

[Bigbrotherjx]

From which version does Eviews begin to support this estimation method?

[EViews Gareth]

EV7

[Bigbrotherjx]

Does this procedure require all the variables i.e. both explanatory and dependent variables to be I(1)? I have a dependent variable which is I(0) and most of the explanatory variables are I(1).

[EViews Glenn]

You'll need to rearrange so the dependent is I(1).

[Bigbrotherjx]

If my dependent variable is naturally I(0) but some of my independent variables are I(1), does this mean I cannot use this method then?

[EViews Glenn]

There really is no meaning to dependent and independent variable in the FMOLS setting. Indeed one of the criticisms of FMOLS as opposed to Johansen cointegration is that the results can differ as you choose different I(1) variables to be the "dependent" variable in the first-stage cointegrating regression.