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Here I describe a Gauss program that can be used to obtain the Fully Modified Least Squared (FMLS) estimators of models whose regressors are random walks with a drift.[1] There are lots of statistical and econometric applications containing subroutines to solve specific problems such as the estimation by ordinary least squares or the testing of unit roots. As far as we know, however, there is no program publicly available solving this specific estimation method.
To this aim I have built a program in the Gauss environment, whose lines of code are introduced in fmls.gau. Gauss is a program supporting many features of interest to econometricians. My purpose is to give ease to the researcher who is working with any data set and who wants to run regressions that have to be estimated by FMLS. So, it can be useful in several branches of applied economics.
[1] See Hansen, B. E. and P. C. B. Phillips (1990), “Estimation and Inference in Models of Cointegration: A Simulation Study”, Advances in Econometrics, Vol. 8, pp. 225-248, Jai Press, Inc.: London; and Phillips, P. C. B. and B. E. Hansen (1990), “Statistical Inference in Instrumental Variables Regression with I(1) Process”, Review of Economic Studies 57, pp. 99-125.
118303.zip
(13.47 KB, 需要: 3 个论坛币)
本附件包括：- fmls.gau
- DATA.DHT
- make.gau
- fmls.out
- readme.doc
- data.txt
- DATA.DAT
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