Search found 4 matches

by shyla01
Sun Feb 28, 2010 11:04 am
Forum: Econometric Discussions
Topic: Help with interpreting VEC results
Replies: 3
Views: 9956

Re: Help with interpreting VEC results

You have to consider "standard error or t-statistics" if you are really interested in the significance. Assuming that you have basic knowledge on VEC models, the following link might be helpful: viewtopic.php?f=18&t=855 . Moreover, your sample is too small compared to size of your mod...
by shyla01
Fri Feb 26, 2010 12:33 pm
Forum: Estimation
Topic: Imposing Cointegration Restrictions
Replies: 3
Views: 5125

Re: Imposing Cointegration Restrictions

Hi there - i was wondering if you could help me. i am trying to impose restrcitions on my cointegrated variables within my VECM model.
one restriciton was that B2=0. and A1=0, which were significant (p-value < significance)
does anyone know how to interpret these findings?
by shyla01
Fri Feb 26, 2010 12:29 pm
Forum: Estimation
Topic: Granger-causality test within an error correction model
Replies: 4
Views: 8183

Re: Granger-causality test within an error correction model

i theory if cointegration is present within a set of variables, granger causuality should not be present. in order to run this - estimate your VEC - then VIEW - LAG STRUCTURE - GRANGER CAUSALITY, BLOCK EXOGENITY ...
by shyla01
Tue Jan 19, 2010 10:46 am
Forum: Econometric Discussions
Topic: no cointegration - now what
Replies: 1
Views: 4319

no cointegration - now what

Hi all, i have a really big problem! when undertaking my econometric analysis i found all my variables to be I(1) that is stationary after first difference. my model is as follows: yt = b1 b2 x1 b3 x3 ut (2 independant variables) the problems: 1) can you estimate a conitegration test for 3 variables...

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