Impulse Responses and VECM

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Joined: Sat Nov 01, 2008 12:22 pm

Impulse Responses and VECM

Postby PERRYGOGAS » Thu Jul 05, 2012 6:16 am

Hello I am reading the manual and I am a bit confused:

Question 1:
In a VAR when selecting Estimate and select as VAR Type > Vector Error Correction the Lag Intervals for D(endogenous) on the right must be q-1? i.e. the selected in the VAR optimum lag length minus one just like in the case for the cointegration test? for example if in the VAR we have "1 2" in the VEC we need to change this to "1 1"?

Question 2:
To get the impulse responses of the above VECM after the estimation of the VECM I need to go to View > Impulse Response?

Thank you very much

Posts: 6
Joined: Mon Mar 11, 2013 2:50 pm

Re: Impulse Responses and VECM

Postby jlevo » Fri Mar 22, 2013 5:01 am

Perry, did you ever solve your problem on this? Thanks

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