2016年6月18日 · Dynamic Ordinary Least Squares Estimator (DOLS) Stock and Watson (1993) proposed that we add seemingly superfluous nontrending variable to the cointegrated regression of interest to obtain a specification that falls into the exception to Case 2 – the respecified model could be rewritten in a way that makes \({{\beta }_{1}}\) and \({{\beta ...

2021年2月9日 · The function creates the formula format for the DOLS equation from the cointegrating relationship. Where the cointegrating relationship is Y ~ X1 + X2 the DOLS equation is Y ~ 1 + X1 + X2 + L(diff(X1), -k:k) + L(diff(X2), -k:k), with k = the number of leads/lags.

用eviews 8.0做fmols和dols 8 个回复 - 6401 次查看 我看很多人使用gauss或者其它软件来做fmols和dols，其实eviews 8.0就可以做这个事情，并且非常方便。 详见帮助文档的chapter 24.

我们利用七个不同的决定因素，包括经济增长、人口、预期寿命、电力生产、电力供应、劳动力和失业率，来分析它们对电力的影响消费。fmols（完全修正的普通最小二乘法）和 dols（动态普通最小二乘法）回归技术被用于探索这种关系。

recently read a couple of articles claiming that DOLS can also be applied as a co integrating equation even when there's a mixture of I(1 ) dependent variable and I(0) and I(1) independent...

2017年4月27日 · As a result, the level equation can be estimated using the bias- correction methods, the FMOLS approach developed by Pedroni (1999b) or the dynamic OLS (DOLS) approach developed by Stock and Watson (1993).

When we run the panel regression with heterogeneous trends, we estimate the income elasticity to be 1.08 (asymptotic s.e.=0.17) and the interest semi-elasticity to be -0.02 ...

2010年10月16日 · 理论上对面板协整方程的估计一般采用完全修正最小二乘 法(Full Modified OLS)和动态最小二乘法(DOLS),且在T→∞时,FMOLS、DOLS估计量 渐进服从截尾正态分布。

In this paper we estimate the price elasticity of demand for coal in China using a panel of province-level data for 1998–2012. We find that provincial coal demand has become increasingly price elastic. As of 2012 we estimate that this elasticity was in the range −0.3 to −0.7 in point estimate terms when responses over two years are ...

All the DOLS estimation results are reported in Table 4. Here, this paper applies the DOLS estimation to the same regression equations considered in Table 3.