Page 1 of 1

Eigenvalue and Trace Tests - VEC

Posted: Thu Jan 10, 2019 11:31 am
by jmagomez
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.