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Dear Fellows, I am developing a model with 3 variables and I had a doubt: I am working with two periods and obtained these results for Cointegration Rank Test: - Trace test indicates 1 cointegrating eqn(s) at the 0.05 level - Max-eigenvalue test indicates 2 cointegration eqn(s) at the 0.05 level Wha...

Dear Fellows,

What is the lag length criteria for VEC that it is more robust (BIC or AIC)?

Best Regards, José.

Dear Fellows,

Thanks a lot.

And the test that it is more robust is the BIC, isn't it?

Best Regards, José.

Dear Fellows,

Is there any test to evaluate lag criteria (BIC or AIC) for a VEC at Eviews?

And the test that it is more robust is the BIC, isn't it?

Best Regards, José.

Dear Colleagues,

Two questions:

1) What is the meaning of the Error Correction Term?

2) What is the validity of the Error Correction Term, when Eigenvalue and Trace Tests indicate there is no cointegration relation at a VEC?

Best Regards, José.

Thanks a lot, Mizra!

Thanks a lot, Mizra.

Now a new doubt has arisen, Would the value of the long-term coefficient of lpg (-1) be the multiplication of the coefficient of cointegration -0.402196 by the coefficient of lpg (-1) within the parentheses (-1.217436)?

Best Regards, José.

Thanks a lot, Mirza. And the signals from the Error Correction equation stay the same as we see at the Eviews, correct? Error Correction: D(LPE) D(LPG) D(LPS) CointEq1 -0.402196 -0.018656 -0.187457 (0.07665) (0.03805) (0.14247) [-5.24747] [-0.49027] [-1.31576] D(LPE(-1)) 0.442810 0.022982 -0.169454 ...

Dear, I want help with the output coefficient signals of my VEC model. In the first part of the cointegration equation, we have some coefficientes with signals, but when I put them on a paper for analysis and discussion, the signals will be exchanged, correct? VEC Estimation Output from Eviews: Vect...

I understand that Yodish is talking about D(0) and D(1) instead of I(0) and I(1). Is this what Yodish are talking about, right?

Regards.

Dear Yodish,

The answer is yes.

Regards.

Dear JMar,

First:

The parameter values of the independent variables are positive (the true values are the inverse of what it is shown). All these variables have a positive relation with dependent variable.

Second:

Could you make EigenValue Test?

Regards.

Dear JMar,

Could you send me these images at the reply.

The link is not working.

Regards.

Dear Alexander 123,

You must put without taking first difference. So you can analyze the relations between variables with all information available.

Regards.

Sorry, Randysavage.

But It is not working.

Regards.