Re: [Gretl-users] DOLS
Am 12.11.2013 16:13, schrieb Claudio Shikida (敷田治誠 クラウジオ):
Thanks, Sven.
I just got it in R (well, but it would be great to do it in Gretl too,
at least for comparison of algorithms) but the features of lag-lead and
sandwich for the t-statistics could be two good reasons to create a time
series submenu.
BTW, so far I was only thinking about the point estimates, and there
it's just a matter of how to create the needed regressors. For the
adjustment of the t-stats of course a package that does it all-in-one
could be useful. This would actually be an excellent use case of
user-contributed function packages, now that those can also be plugged
into the menus.
I can commit to producing this in the Christmas break, if someone
reminds me ;-) Or if you cannot wait, do it yourself...
cheers,
sven