Search found 4 matches
- 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...
- 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?
one restriciton was that B2=0. and A1=0, which were significant (p-value < significance)
does anyone know how to interpret these findings?
- 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 ...
- 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...