SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Estimates 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.

Language: RATS
Requires: RATS 7.30
Keywords: Dynamic; OLS (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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Downloads: (external link)
https://www.estima.com/procs_perl/swdols.src (text/plain)

Related works:
Journal Article: A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00207

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