FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Estimates 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.

Language: RATS
Requires: RATS 5.10
Keywords: Cointegration; fully modified least squares (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/fm.src (text/plain)

Related works:
Journal Article: Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00069

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