EC estimation

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EC estimation

Postby linluoau » Mon Oct 28, 2019 7:56 pm

Hi Helpers
Suppose I have a number of I(0) and I(1) variables, of which are cointegrated in some order. I am only interested in building a model for one I(1) variable, which means I only need to estimate a single rather than a vector of equations.
My question is if I can use the ec command to do this in EViews? Can I just place the variable of interest first in the cointegrating vector to get the long run coefficients and ignore the estimation of other equations? How would the results differ from using the ec estimation compared to say using the two-stage Engle-Granger model? Is the difference only due to the different MLEs used in the single and the system equations?
The reason why I want to use 'ec' is because it's simple and easy, and I hope to get more efficient estimates.
Many thanks in advance

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