Doubt about error correction term coefficient analysis

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jmagomez
Posts: 68
Joined: Wed Aug 08, 2012 10:24 am

Doubt about error correction term coefficient analysis

Postby jmagomez » Thu Aug 16, 2012 4:45 am

Dear Fellows,

I'm with three doubts about error correction term coefficient at VECM.
1) The "cointeq1" is the adjustment coefficient between the long and short term of the dependent variable, is it correct?;
2) And are the coefficients inside the error correction term the long term ones?;
3) Or is the multiplication between the adjustment coefficient of the error correction term and the coefficients inside the error correction term equal to the adjustment coefficients of the variables inside the error correction between the long and short term?.

Best Regards,
José.

jmagomez
Posts: 68
Joined: Wed Aug 08, 2012 10:24 am

Re: Doubt about error correction term coefficient analysis

Postby jmagomez » Wed Aug 22, 2012 8:00 am

Does anyone know any material on the VECM interpretation of the coefficients?

Best Regards, José.


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