R DOLS (Dynamic Ordinary Minimum Squares)

Question

I met with different regression options in R and noticed that I don't see any regression options that explicitly state that they implement the DOLS algorithm.Many statistics articles mention the algorithm, but when I look at the source code for packages like urca or tseries , I only see them using the standard lm package. For example, urca ca.po test and tseries ' po.test use the direct lm to evaluate the remainder of the test. Is it possible to simulate DOLS using lm or dynlm ?

I ask because I would like to use DOLS for some things that I have been working on, and I cannot figure out how to simulate it with an existing package or what I need to write.

Answer 1

Maybe I'm wrong because I don’t know anything about your area, but I believe that the vars package has everything you are looking for. This one has a terrific vignette , I think you're looking for a stability function, especially the dynamic argument. Note that this function simply strucchange another from the strucchange package.

Then, again, I can be off the mark if you are not in econometrics.