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Thanks a lot. Obviously I made an error in my reasing.

Hello, I've got a question to the outcome of some Wald Coefficient Tests. I estimated a regression and found coefficients of c(1) close to zero and c(2) close to unity. The standard errors are quite small, around 0.003. When I apply Wald Coefficient Tests for the restrictions c(1)=0 and c(2)=1 the n...

Hi! I've problems interpreting the Pedroni-Test output. The results suggest rejection of the null of no cointegration for the panel-statistics but provides totally different results for the group-statistics that can't find cointegration. I'm looking very forward to any ideas of how to explain this o...

How can I test if two time series are cointegrated with the cointegrating vector (1,-1)?

I have a question that might fit into this context. I want to estimate the VECM: Δs(t+1)=α(s)*[f(t)-β(s)s(t)-µ]+ε(s,t+1) Δf(t+1)=α(f)*[f(t)-β(s)s(t)-µ]+ε(f,t+1) Can I estimate this with "Estimate VAR" or do I also have to choose a system? If I can estimate it with "Estimate VAR" ...