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Re: st: RE: cointegration analysis by dynamic GLS


From   "Clive Nicholas" <[email protected]>
To   [email protected]
Subject   Re: st: RE: cointegration analysis by dynamic GLS
Date   Wed, 8 Feb 2006 05:23:20 -0000 (GMT)

Jean Salvati replied to Giovanni Vecchi:

> Estimating the regression with leads and lags using newey or newey2 will
> give you the version of DOLS with Newey-West standard errors. That's all
> there is to it.
>
> Other versions of DOLS with alternative variance adjustments require
> more work.

Another, perhaps better, option to get the same thing is to use Baum,
Schaffer and Stillman's -ivreg2- package, downloadable from SSC. Using

. ivreg2 y x L.y F.y, bw(2) robust

will give Giovanni what he wants in one line: lags (L), leads (F) and the
two options combined, which give OLS Newey-West standard errors. Much more
model-fit statistics are available with -ivreg2- than -newey- or -newey2-
as well. Hope this helps.

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e: [email protected]
Newcastle University  |http://www.ncl.ac.uk/geps

Whereever you go and whatever you do, just remember this. No matter how
many like you, admire you, love you or adore you, the number of people
turning up to your funeral will be largely determined by local weather
conditions.

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