Dynamisk OLS-estimator (Dynamic Ordinary Least Squares - DOLS)
Dynamisk OLS er en estimator for kointegrerede regressioner, introduceret af Stock og Watson (1993), som genfinder den langsigtede relation mellem I(1)-variable. Den udvider den statiske regression med fremtidige og fortidige værdier af de differenserede regressorer, hvilket korrigerer endogenitetsbias parametrisk, så den langsigtede koefficient kan estimeres ved almindelig mindste kvadraters metode.
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Kilder
- Stock, J. H. & Watson, M. W. (1993). A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems. Econometrica, 61(4), 783–820. DOI: 10.2307/2951763 ↗
- Kao, C. & Chiang, M.-H. (2001). On the Estimation and Inference of a Cointegrated Regression in Panel Data. Advances in Econometrics, 15, 179–222. DOI: 10.1016/S0731-9053(00)15007-8 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 1). Dynamic Ordinary Least Squares Estimator. ScholarGate. https://scholargate.app/da/econometrics/dols-estimator
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Augmented Mean Group (AMG) EstimatorØkonometri↔ compare
- Common Correlated Effects Mean Group (CCEMG) EstimatorØkonometri↔ compare
- Almindelig mindste kvadraters metode (OLS) regressionØkonometri↔ compare
- Panel Cointegration Tests (Pedroni, Kao, Westerlund)Økonometri↔ compare
- Panel Data Fixed Effects ModelØkonometri↔ compare
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