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From |
Michael Hanson <mshanson@mac.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: fully modified OLS and dynamic OLS |

Date |
Thu, 19 Mar 2009 08:28:30 -0400 |

Bob:

Grant:

Hope this helps, Mike

On Mar 18, 2009, at 11:25 PM, Robert A Yaffee wrote:

The fully modified OLS was developed by Phillips and Hansen in 1990.Their option corrects for endogeneity and serial correlation. TheNewey-Westoption is the closest thing to that but it does not necessarilycorrectfor endogeneity in a multivariate system. Perhaps the 3sls in thereg3command would give you a close approximation.

On Mar 18, 2009, at 11:36 PM, Robert A Yaffee wrote:

Grant,As for the Dynamic OLS, if this is the method put forth bySaikkonenin 1991, this could be done with Stata easily.As mentioned in GS Maddala and I.M. Kim's Unit Roots,Cointegration,and Structural Change 2003, Cambridge University Press, p. 163: the model regresses a y(1,t) on a y(2,t) and a d.y(2,t-j) would be formulated as a regressionof y(1,t) = B'y(2,t) + Sum (from j=-k1 to K2) b(j)d.y(2,t-j) + v(t) ,where k1 and k2 are selected to increase at an appropriate rate upto T.The method adds leads and lags to y(2,t) but not to y(1,t). You could estimate this with 3sls.

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**References**:**Re: Re: st: fully modified OLS and dynamic OLS***From:*"Grant Peter Kabango" <g.kabango.1@research.gla.ac.uk>

**Re: Re: st: fully modified OLS and dynamic OLS***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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