SWDOLS—Stock-Watson Dynamic OLS Estimator
Posted: Sun Dec 25, 2022 11:37 am
@SWDOLS computes the DOLS estimator for cointegrating vectors from Stock and Watson(1993), "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems", Econometrica, vol 83, 1097-1107.
This is used repeatedly in the King, Plosser, Stock, Watson replication.
swdols.src
Detailed description
This is used repeatedly in the King, Plosser, Stock, Watson replication.
swdols.src
Detailed description