On Mar 18, 2009, at 6:37 PM, Grant Peter Kabango wrote:

`I would like to estimate using the fully modified OLS (FMOLS) and
``dynamic OLS (DOLS), and I wish to find out the Stata command for
``these processes.
`

On Mar 18, 2009, at 7:01 PM, Martin Weiss wrote:

`-findit- does not return any results. Are these procedures known
``under any other name?
`

`The short answers are no (to Grant: "Are FM-OLS or DOLS currently
``implemented in Stata?") and no (to Martin: "Are they known by other
``names?"). Note that this request and the corresponding response
``about alternative names reappear on Statalist roughly every year or
``two (and apparently has been more popular recently):
`
<http://www.stata.com/statalist/archive/2004-08/msg00355.html>
<http://www.stata.com/statalist/archive/2006-05/msg00010.html>
<http://www.stata.com/statalist/archive/2008-01/msg00078.html>
<http://www.stata.com/statalist/archive/2008-04/msg00725.html>
<http://www.stata.com/statalist/archive/2008-08/msg01166.html>

`FM-OLS and DOLS are single equation estimators for cointegrated
``relationships. Given that this is a fairly specialized topic in time
``series analysis, I don't believe they can be found in other
``Stata .ado files under different names. (Although I would be happy
``to be proven wrong on that point.)
`

`Dynamic OLS is quite easy to implement in Stata, since it just
``involves augmenting a (super-consistent) OLS estimate of the
``cointegrating relationship with leads and lags of the RHS variable.
``For appropriate inference, HAC standard errors must be used. Below
``is a simple (and very stylized) example. Note that this example uses
``both -ivreg2- and -freduse-, which are available from SSC.
`
// Begin example
clear
freduse GDPC96 PCECC96
gen t = qofd(daten)
format t %tq
drop date*
tsset t
gen y = ln(GDPC96)
gen c = ln(PCECC96)
ivreg2 c y L(-4/4)D.y, bw(auto) robust
ivregress 2sls c y L(-4/4)D.y, vce(hac nw opt)
// End example

`The coefficient on y in each regression will be the estimate of the
``parameter B in the cointegrating vector [1 -B], such that [c y] [1 -
``B]' ~ I(0). Note that -ivreg2- will work with Stata 9 or better
``(once installed); -ivregress- was introduced in Stata 10. They
``should return identical results in the above example.
`

`The FM-OLS estimator is a little more sophisticated, and -- as far as
``I can tell -- no one has contributed a user-written version. Thus,
``your options are (1) write it yourself (see the references below --
``would be a good exercise to implement in Mata); (2) use a system
``estimator (such as -vec-); or (3) use a different statistical
``package. (For example, FM-OLS has been implemented in RATS: see
``<http://www.estima.com/procs_perl/fm.src> and <http://www.estima.com/
``procs_perl/panelfm.src>. Procedures may also have been written for
``R, but a quick search did not turn up anything.)
`

`Hope this helps. Perhaps the next time someone looks for the DOLS or
``FM-OLS estimators, they will search the mailing list archive first.
`
-- Mike
References:

`Banerjee, Anindya, et al, "Co-integration, Error-Correction, and the
``Econometric Analysis of Non-Stationary Data," Oxford University
``Press, 1993.
`

`Maddala, G.S. and In-Moo Kim, "Unit Roots, Cointegration, and
``Structural Change," Cambridge University Press, 1998.
`

`Phillips, Peter and Bruce Hansen, "Statistical Inference in
``Instrumental Variables Regression with I(1) Processes," Review of
``Economic Studies, v.57, 1990, pp. 99-125.
`

`Phillips, Peter, "Fully Modified Least Squares and Vector
``Autoregression," Econometrica, v.63 n.5, 1995, pp. 1023-1078.
`

`Stock, James and Mark Watson, "A Simple Estimator of Cointegrating
``Vectors in Higher Order Integrated Systems," Econometrica, v.61 n.4,
``1993, pp. 783-820.
`
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