Search found 4 matches
- Thu Mar 04, 2010 5:42 pm
- Forum: Estimation
- Topic: VECM examples
- Replies: 0
- Views: 2300
VECM examples
Hi, I am looking for some good examples of multivariate VECMs with data that I can replicate in EViews. While I have a basic grasp of VECMs, I would like a worked example so that I can actually go through the whole process and make sure my understanding is correct. The examples I have seen (such as ...
- Tue Oct 27, 2009 4:29 pm
- Forum: Estimation
- Topic: VECM and VAR
- Replies: 0
- Views: 2166
VECM and VAR
Hi,
I have a 10 variable VAR. 6 of the variables are I(1), 4 are I(0).
The Johansen cointegration test of the 6 I(1) variables results in a number of cointegration equations.
Can EViews automatically estimate the full VAR including the error corrections or do I have to specify it manually?
I have a 10 variable VAR. 6 of the variables are I(1), 4 are I(0).
The Johansen cointegration test of the 6 I(1) variables results in a number of cointegration equations.
Can EViews automatically estimate the full VAR including the error corrections or do I have to specify it manually?
- Tue Oct 20, 2009 5:46 pm
- Forum: Estimation
- Topic: Limit on cointegrating equations
- Replies: 1
- Views: 2640
Re: Limit on cointegrating equations
Must have been a glitch somewhere. Now they all show. Weird.
- Tue Oct 20, 2009 5:40 pm
- Forum: Estimation
- Topic: Limit on cointegrating equations
- Replies: 1
- Views: 2640
Limit on cointegrating equations
Hi, I have been investigating the cointegration of 6 variables, one of which is exogenous. When I run the Johansen cointegration test the trace tests both indicate 5 cointegrating equations. However the subsequent output only specifies 4 cointegrating equations. Is there a limit (in the software) on...