VECM
Posted: Tue May 29, 2018 3:32 am
Hello,
My panel data variables are cointegrated and I was advised to use restricted VAR to test the impact of a certain variable.
My questions are: 1- Is Restricted var the same as VECM in this case since there is cointegration.
2- Can I still use impulse and variance distribution tests offered by eviews if I intend to generate that VECM model (given the
cointegration between the variables)?
Thank you indeed
My panel data variables are cointegrated and I was advised to use restricted VAR to test the impact of a certain variable.
My questions are: 1- Is Restricted var the same as VECM in this case since there is cointegration.
2- Can I still use impulse and variance distribution tests offered by eviews if I intend to generate that VECM model (given the
cointegration between the variables)?
Thank you indeed