Search found 4 matches
- Sun Jan 08, 2017 11:48 am
- Forum: Econometric Discussions
- Topic: [VAR, Johansen] Using level or first difference.
- Replies: 0
- Views: 2262
[VAR, Johansen] Using level or first difference.
Hi everyone, I have two stock prices series, which I transformed into log, those two log series are non stationary in level but are stationnary in first difference. So for my VAR model I used the log series in first difference, I think that's the way to do it. But what about the Johansen testing (an...
- Sun Jan 08, 2017 8:16 am
- Forum: Econometric Discussions
- Topic: Error Correction VECM
- Replies: 4
- Views: 5029
Re: Error Correction VECM
Thank you very much for your answer jmagomez.
- Tue Dec 06, 2016 8:21 am
- Forum: Econometric Discussions
- Topic: Error Correction VECM
- Replies: 4
- Views: 5029
Re: Error Correction VECM
Thank you for your reply,
I've attached the images to the post.
Thanks again.
I've attached the images to the post.
Thanks again.
- Tue Nov 29, 2016 8:20 am
- Forum: Econometric Discussions
- Topic: Error Correction VECM
- Replies: 4
- Views: 5029
Error Correction VECM
Hi, I have this Table and I need to explain the numerical values, and interpret them. Is there an error correction mechanism? https://imgur.com/a/f95Oo And I don't know how to interpret these values. Before that I had a VAR Residual Serial Correlation LM Tests https://imgur.com/a/fqWHy, I concluded ...