Impulse Responses and VECM
Posted: 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
Perry
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
Perry