EViews.com

Dear,

I'm trying to figure out whether dynamic OLS (DOLS) can be carried out in Eviews.

Not currently...

That's not entirely correct. You could do the dynamic regression yourself (adding leads and lags as desired) and, as suggested in Zivot and Wang (2006) use Newey-West standard errors to get valid t-stats. This is not generally the variance estimator described in the literature, for example, in, Hayashi (2000), but it is a valid procedure.

That's not entirely correct. You could do the dynamic regression yourself (adding leads and lags as desired) and, as suggested in Zivot and Wang (2006) use Newey-West standard errors to get valid t-stats. This is not generally the variance estimator described in the literature, for example, in, Hayashi (2000), but it is a valid procedure.

Thanks. what do you mean by leads?

DOLS requires that you include leads and lags of the differenced cointegrating regressors on the right-hand side of your equation (see for example, Hayashi (2000), Econometrics , p. 655 or Zivot and Wang (2006), Modeling Financial Time Series, p. 451. Hamilton (1994) also has a discussion.

hi,

I have a similar question. I include leads and lags of the differenced cointegrating regressors on the right-hand side of my equation. As residuals are autocorrelated, I need to use the Newey-West but unfortunatelly I think this option is not available in Eviews, not predefined.
Am I wrong and if so could you please tell me how to choose the Newey-West correction for autocorrelation when I estimate using LS-Least Squares (LS and AR)?

Thank you in advance.

hi,

I have a similar question. I include leads and lags of the differenced cointegrating regressors on the right-hand side of my equation. As residuals are autocorrelated, I need to use the Newey-West but unfortunatelly I think this option is not available in Eviews, not predefined.
Am I wrong and if so could you please tell me how to choose the Newey-West correction for autocorrelation when I estimate using LS-Least Squares (LS and AR)?

Thank you in advance.

Click the Estimate button in the equation window, the Options tab, and choose Newey-West.

I am in a panel data setting, and this option is not available under Options.
Any other suggestion?
Thank you.

It is true that we don't offer NW corrections in panel estimation.