EViews.com

Ok, scrap my last question. After some work, I realised it isn't actually that difficult to get the VECM up and running. However, how can I include contemporaneous first differences in the variables? Eviews only seems to give the option to include lags of first differences. But, theoretically, shoul...

You could have a look at the code I posted earlier today. That works for me in order to save down the statistic into a matrix for a large number of groups. Obviously check the command reference so you know what options you want. You should be able to find it if you search for the "coint" c...

Dear all, I've searched the forum and I haven't been able to find the answer as to how I can estimate (and automate) a VECM once I have found cointegration through the Johansen procedure. I'm currently using Eviews 6 and the code I have so far is: group importprices importprices.drop resid importpri...