Search found 4 matches

by Frencholivier
Sat May 20, 2017 12:38 pm
Forum: Suggestions and Requests
Topic: Suggestions: VECM do-ver
Replies: 1
Views: 5309

Suggestions: VECM do-ver

Hi, I'm not sure at what stage the development of Eviews 10 is but here are some suggestions re: VECM (i.e. the Cointegrated VAR). Those stem from my fairly advanced knowledge and practice of this class of models. Allow me to put in my comments along each step of the standard procedure for estimatin...
by Frencholivier
Sat May 20, 2017 11:51 am
Forum: Econometric Discussions
Topic: Johansen and Granger causality test
Replies: 1
Views: 2517

Re: Johansen and Granger causality test

What you need to know is that cointegration implies Granger causality. However with cointegrated data in a VECM, it is difficult to interpret Granger causality as performed by Eviews . Eviews by default tests Granger causality on the first differences, excluding the error-correction term. If you are...
by Frencholivier
Sat May 20, 2017 11:46 am
Forum: Econometric Discussions
Topic: VECM
Replies: 1
Views: 2455

Re: VECM

none of those are important. There is only one VECM --the one that fulfills all the requirements. The attractiveness of the VECM is that (1) you test for the existence of a long run relationship and (2) you extract a long run structure from the data (structure to be interpreted). Measures of fit are...
by Frencholivier
Sat May 20, 2017 11:43 am
Forum: Econometric Discussions
Topic: Optimal number of dummy's in VECM?
Replies: 1
Views: 2466

Re: Optimal number of dummy's in VECM?

Dummies are very important for the VECM (=cointegrated VAR). Do you have 60 variables or 3 variables? If you mean "60 observations for each 3 time series" then 11 dummies is acceptable. There is no optimal number. The rule of thumb promoted by Katarina Juselius is to use a dummy (1) for ea...

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