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VECM preestimation
Posted: Thu Sep 30, 2010 5:08 am
by oek_stat
Is there any possibility to do forecasts with a vector error correction model by using a rolling window?
Re: VECM preestimation
Posted: Thu Sep 30, 2010 8:09 am
by EViews Gareth
There's nothing built in that will do that, but if you're familiar with the EViews programming language, it should not be too hard to do.
Re: VECM preestimation
Posted: Tue Nov 02, 2010 6:08 am
by oek_stat
Thank You for the advice. I've done it. It really wasn't very hard.
Re: VECM preestimation
Posted: Sat Sep 05, 2015 5:12 am
by phuhti
Hey oek_stat!
I'm am not so familiar with the Eviews language. I'm doing my thesis and it would be highly useful to know how to do VECM model using rolling window in Eviews.
Could you help me with this? Some advice or part of the code would be great.
-Petteri