On Tue, 12 Nov 2013, Sven Schreiber wrote:

> 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...

Maybe this could help:

<hansl>
set echo off
set messages off

function matrix dols(series y, list X, scalar order)

     scalar k = nelem(X)
     list extra = null
     list dX = diff(X)
     loop foreach i dX --quiet
         loop for j=1..order --quiet
             extra += $i(-j)
             extra += $i(+j)
         end loop
     end loop

     ols y X dX extra --robust --quiet
     b = {1} | -$coeff[1:k]
     bs = $coeff[1:k] ~ $stderr[1:k]
     vn = varname(X)

     printf "\n-------------- DOLS ESTIMATION --------------\n"
     modprint bs vn

     return b
end function

open hamilton.gdt --quiet

# log of US price level
genr p = 100*(log(PZUNEW)-log(PZUNEW[1973:01]))

# log of exchange rate
genr s = -100*(log(EXRITL)-log(EXRITL[1973:01]))

# log of Italian price level
genr pf = 100*(log(PC6IT)-log(PC6IT[1973:01]))

# Set the sample period used by Hamilton
smpl 1974:2 ;

# Estimate VECM: lag order 12, cointegration rank 1
Hamilton <- vecm 12 1 p s pf --quiet

# Estimate cointegration relationship via DOLS
list X = s pf
beta_dols = dols(p, X, 12)
print beta_dols

</hansl>

-------------------------------------------------------
   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti(a)univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
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