SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS
AbstractEstimates cointegrating vectors using Stock and Watson's dynamic OLS. Stock and Watson(1993), "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems", Econometrica, vol. 61, 783-820.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00207.
Programming language: RATS
Requires: RATS 7.30
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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:
- Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 783-820, July.
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