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SWDOLS—Stock-Watson Dynamic OLS Estimator

Posted: Sun Dec 25, 2022 11:37 am
by TomDoan
@SWDOLS computes the DOLS estimator for cointegrating vectors from Stock and Watson(1993), "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems", Econometrica, vol 83, 1097-1107.

This is used repeatedly in the King, Plosser, Stock, Watson replication.

swdols.src

Detailed description