VECM

For econometric discussions not necessarily related to EViews.

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j235
Posts: 14
Joined: Mon Oct 24, 2016 9:24 am

VECM

Postby j235 » Thu May 04, 2017 6:01 am

I am performing VECM and I have some dilemmas. Namely for choosing the best VECM model, which variables is most important ( RMSE, R², AIC, SC ) ?

Frencholivier
Posts: 4
Joined: Sat May 20, 2017 10:25 am

Re: VECM

Postby Frencholivier » Sat May 20, 2017 11:46 am

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 really secondary.


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