Sign restricted VECM

For questions about EViews Add-ins available from the EViews Add-ins webpage. Note each add-in available on our webpage will have its own individual thread.

Moderators: EViews Gareth, EViews Moderator, EViews Esther

Post Reply
Ablostu
Posts: 6
Joined: Wed Apr 27, 2016 1:06 pm

Sign restricted VECM

Postby Ablostu » Wed Apr 27, 2016 1:18 pm

Hello, I am rather new in EViews and would be very grateful for your help. I would like to ask you if there is any possibility to use the SrVAR add-in in VECM? I would like to use sign restrictions in my SVAR but face cointegration issues. Thank you!
Top
dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign restricted VECM

Postby dakila » Thu Apr 28, 2016 4:39 am

Cointegration is not problem for the srvar addin if you use variable in levels. Do you have the reference for sign restriction with VECM?
Top
Ablostu
Posts: 6
Joined: Wed Apr 27, 2016 1:06 pm

Re: Sign restricted VECM

Postby Ablostu » Thu Apr 28, 2016 8:34 am

I mean there is an error correction equation that needs to be taken into account, that I believe is not in SrVAR add-in
Top
dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign restricted VECM

Postby dakila » Fri Apr 29, 2016 1:59 am

I understand your point. But if you estimate VAR in levels it will implicitly take account your error correction term. I am not fan of cointegration.
Top
Ablostu
Posts: 6
Joined: Wed Apr 27, 2016 1:06 pm

Re: Sign restricted VECM

Postby Ablostu » Tue May 03, 2016 7:14 am

Where could I see the code used in SrVAR add-in?
Top
Post Reply

Return to “Add-in Support”

Who is online

Users browsing this forum: No registered users and 23 guests