关于DOLS

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    您好，我想问您一下关于DOLS与一般的面板回归有什么较大区别么，只是在回归式中加入了解释变量的滞后和之前的变量么？

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关键词：Dols DOL OLS 面板回归 解释变量 Dols

可以这么理解，但在计算标准误时需要采用HAC标准误，具体解释如下：

（Source：http://www.stata.com/statalist/archive/2009-03/msg01009.html ）
Dynamic OLS is quite easy to implement in Stata, since it just involves augmenting a (super-consistent) OLS estimate of the cointegrating relationship with leads and lags of the RHS variable. For appropriate inference, HAC standard errors must be used. Below is a simple (and very stylized) example. Note that this example uses both -ivreg2- and -freduse-, which are available from SSC.


// Begin example

clear
freduse GDPC96 PCECC96
gen t = qofd(daten)
format t %tq
drop date*
tsset t

gen y = ln(GDPC96)
gen c = ln(PCECC96)

ivreg2 c y L(-4/4)D.y, bw(auto) robust
ivregress 2sls c y L(-4/4)D.y, vce(hac nw opt)

// End example

The coefficient on y in each regression will be the estimate of the parameter B in the cointegrating vector [1 -B], such that [c y] [1 - B]' ~ I(0). Note that -ivreg2- will work with Stata 9 or better (once installed); -ivregress- was introduced in Stata 10. They should return identical results in the above example.