Hi everyone,
Longtime reader first time questioner. A colleague was showing me the
EViews statistical package and demonstrating some of its regression
capabilities--like DOLS--and commenting how easy it was to do certain kinds
of regression. Being more of an R type, I went to try and replicate his
regression results in R and to my surprise couldn't find a way--or anyone
discussing how--to perform a dynamic ordinary least squares regression in
R. Are there any packages or guidelines on how to do this?
I've started messing with d() and L() in dynlm to see if I can recreate the
leads/lags portions of the DOLS equation, but I'm having little success at
the moment. I'm incredibly confused how to do this at the moment so any
pointers would be appreciated!
Sincerely,
Stephen
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