I have estimated VECM and I want to test if the coefficients of the cointegration vector sum to zero.
In particular, I would like to test: B(1,1) + B(1,2) + B (1,3) + B (1,4) = 0
How can I do it?
Thank you!
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- Fri May 27, 2016 1:03 pm
- Forum: Estimation
- Topic: How can I test the coefficient of the cointegration vectors?
- Replies: 0
- Views: 2466