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FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Estimates a cointegrating relation among the listed variables using fully modified least squares. Phillips and Hansen(1990), "Statistical Inference in Instrumental Variables Regression with I(1) Processes", Review of Economic Studies, vol 57, 99-125. Hansen, Bruce (1992), "Efficient Estimation and Testing of Cointegrating Vectors in the Presence of Deterministic Trends", Journal of Econometrics, vol 53, 87-121.

Suggested Citation

  • Tom Doan, "undated". "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00069
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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