CODEWITHSUNDEEP
rregression
FloppyDisk
FloppyDisk

Reputation: 1703

R DOLS (Dynamic Ordinary Least Squares) packages

I've been messing around with different regression options in R and noticed that I haven't see any regression options that explicitly state they're implementing a DOLS algorithm. Many of the statistical papers mention the algorithm but when I go through source code for packages like urca or tseries I see them just using the standard lm package. For instance, urca's ca.po test and tseries' po.test both use straight lm to estimate the residual for the test. Is it possible to simulate DOLS using lm or dynlm?

I'm asking because I'd like to use DOLS for some stuff I've been working on and I can't figure out how to either simulate it with an existing package or what I'd need to write.

Upvotes: 7

Views: 2937

Answers (1)

nograpes
nograpes

Reputation: 18323

I might be wrong about this, because I know nothing of your area, but I believe the vars package has everything you are looking for. It has a fabulous vignette, I think you are looking for the stability function, particularly the dynamic argument. Note that this function just wraps another from the package strucchange.

Then again, I might be way off the mark if you aren't in econometrics.

Upvotes: 1

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