Dynamic OLS - running the long and short run ECM Model
Posted: Sat Jan 25, 2014 4:29 am
Hi,
I'm using DOLS (Dynamic OLS) to construct an ECM Model. I was hoping for some guidance.
Long run Model
1. What form would this take? I know I need to include lags and leads but how many? How would I interpret the results?
2. When analysing the lags and leads do I need to consider the p values and chop and change as such?
3. Do I need to difference the variables?
Short run Model
Also require some help on the short run equation - I know to add the residuals from the first equation.
4. Do you need to difference?
5. How many lags do you include of dependent and independent variables?
I'm using DOLS (Dynamic OLS) to construct an ECM Model. I was hoping for some guidance.
Long run Model
1. What form would this take? I know I need to include lags and leads but how many? How would I interpret the results?
2. When analysing the lags and leads do I need to consider the p values and chop and change as such?
3. Do I need to difference the variables?
Short run Model
Also require some help on the short run equation - I know to add the residuals from the first equation.
4. Do you need to difference?
5. How many lags do you include of dependent and independent variables?
:( help?
:)