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- Fri Sep 04, 2015 8:34 am
- Forum: Econometric Discussions
- Topic: VECM-selection of cointegrating equations
- Replies: 0
- Views: 1507
VECM-selection of cointegrating equations
Hello, I hope you have some advice for me on this. I would like to run a VEC model with five endogenous variables, all I(1). I tested for cointegration after running a VAR (using all my 5 variables) and both, the trace statistic, and the maximum Eigenvalue tests suggest the existence of two (2) coin...