Re: [Gretl-users] FMOLS and DOLS with Grelt
On Fri, 3 Sep 2010, Anutechia Asongu wrote:
Hi all,
Please I wish to use an alternative to VECM for long term Granger causality.
Elasticity coefficients of
DOLS(Dynamic Ordinary Least Squares) and FMOLS(Fully Modified Ordinary Least Squares)
could be of help. However,
I don't know if this is possible with Grelt. Please help me.
Attached you'll find a modification of the script hamilton.inp
(provided among gretl's sample scripts) in which the cointegration
vector is estimated by DOLS.
Hope this helps,
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
Attachments:
- dols_example.inp (application/x-gretlscript — 1.0 KB)