Cointegrating Regression

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

Cointegrating Regression

Postby maxchen on Tue Jul 27, 2010 6:56 am

EViews 7 has Cointegrating Regression, say, the following 3 methods
1 Fully Modified OLS (Phillips andHansen 1992)
2 Canonical Cointegrating Regression (Park 1992)
3 Dynamic OLS (Saikkonen 1992, Stock and Watson 1993)

If I have 3 variables with 2 Cointegrated Equations (CEs), how to find all the 2 CEs? (I know VAR object works)

What are these 3 methods related to Johansen’s (1991, 1995) system maximum likelihood approach to cointegration analysis and testing?
Posts: 184
Joined: Fri Oct 10, 2008 4:03 pm

Re: Cointegrating Regression

Postby EViews Glenn on Tue Jul 27, 2010 9:49 am

The approaches of the two sets of methods are quite different.

These are single equation methods that allow for a single cointegrating vector. The Johansen methods work with the system directly and allow for multiple cointegrating vectors.
EViews Glenn
EViews Developer
Posts: 2419
Joined: Wed Oct 15, 2008 9:17 am

Return to Estimation

Who is online

Users browsing this forum: Google [Bot] and 7 guests