I ran across the Stock & Watson 1993 paper on DOLS and was wondering if an implementation of it exists in R. A colleague was showing me EViews the other day and they have a DOLS model built in as part of their base package, but I have been unable to find a similar capability in any existing R package. Is there a package in R that implements the algorithm or is there a way to manipulate dynlm formulas to achieve the same effect?
closed as off topic by chl♦ Nov 3 '12 at 20:27
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