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st: Dynamic OLS (DOLS) panel estimator for cointegrated regressions?


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Dynamic OLS (DOLS) panel estimator for cointegrated regressions?
Date   Thu, 21 Oct 2004 11:55:17 -0400

Hello,

One of our Stata users wants to use the Dynamic OLS panel estimator for
cointegrated regressions. This estimator is mentioned for example in the
paper by Kao and Chiang (2000), "On the estimation and inference of a
cointegrated regression in panel data", published in "Advances in
Econometrics".

I'm not familiar with this estimator. I only understand that the
covariance matrix of the coefficients produced by this estimator is not
the standard OLS covariance matrix. 

Is there a Stata implementation of this estimator? Can Stata compute the
appropriate covariance matrix?

I ran a few searches, but they didn't yield any result.

Thanks.

Jean Salvati

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