Obrigado / Thanks for your time and attention.

Claudio D. Shikida

http://www.cdshikida.net and http://works.bepress.com/claudio_shikida/

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On Tue, Nov 12, 2013 at 1:09 PM, Sven Schreiber <svetosch@gmx.net> wrote:

Am 12.11.2013 11:43, schrieb Claudio Shikida (敷田治誠　クラウジオ):

> Hi
>
> Just one question: is there any script for gretl that calculate DOLS
> (Stock & Watson 1993)?
>

In principle it's easy to do, since x(+1) gives you the lead (and thus
x(+1)-x the lead diff, and so on), which you can use with the ols
command; if necessary, create the regressors in a loop. Nothing special
that you need apart from that, I'd say.

However, it's true that while there's 'lags()' to generate list of lags
quickly, this doesn't seem to cover leads, and IMHO this would be a
useful feature.

Also, because it's impossible to enter leads via GUI into the standard
OLS-dialog, perhaps it's worth thinking about a separate DOLS entry in
the time series submenu?

cheers,
sven

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