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st: cointegration analysis by dynamic GLS


From   Giovanni Vecchi <[email protected]>
To   [email protected]
Subject   st: cointegration analysis by dynamic GLS
Date   Tue, 07 Feb 2006 13:33:44 +0100

Dear Statalisters,

I'm trying to figure out whether dynamic OLS/GLS can be carried out in Stata in
order to estimate cointegration. I have been asked this question by a colleague
(Eviews user), but so far I've been not able to help.

He is carrying out cointegration analysis by estimating the following model:

y(t)= a+bx(t)+d(x(t-1))+d(x(t+1))+e(t)

where e(t) exhibits serial correlation. He would also like to use Newey-West HAC
standard errors and covariance.

Any help will be greatly appreciated.


Best,

Giovanni Vecchi


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