FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares
AbstractEstimates a cointegrating relation among the listed variables using fully modified least squares. Phillips and Hansen(1990), "Statistical Inference in Instrumental Variables Regression with I(1) Processes", Review of Economic Studies, vol 57, 99-125. Hansen, Bruce (1992), "Efficient Estimation and Testing of Cointegrating Vectors in the Presence of Deterministic Trends", Journal of Econometrics, vol 53, 87-121.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00069.
Programming language: RATS
Requires: RATS 5.10
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
- Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
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