On Fri, 3 Sep 2010, Anutechia Asongu wrote: > Hi all, > Please I wish to use an alternative to VECM for long term Granger > causality. Elasticity coefficients of > DOLS(Dynamic Ordinary Least Squares) and FMOLS(Fully Modified Ordinary Least > Squares) could be of help. However, > I don't know if this is possible with Grelt. Please help me.
Attached you'll find a modification of the script hamilton.inp (provided among gretl's sample scripts) in which the cointegration vector is estimated by DOLS. Hope this helps, Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
dols_example.inp
Description: application/gretlscript
