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Hi,

I need some avice regarding the significance of coefficients in a VECM. How can I assess whether the coefficients are statistically significant in a VECM? It is not provided in Eview when I run VECM.

Thanks

I have 4 sets of monthly time series data (stock price, M2, interest rates and CPI) and i use ADF to check for unit roots. When I use trend and intercept model, there is @trend value. How do I know whether the @trend is significant? Shall I look at coefficient or the statistic? Furthermore, I run la...

I have 4 sets of monthly time series data (stock price, M2, interest rates and CPI) and i use ADF to check for unit roots. When I use trend and intercept model, there is @trend value. How do I know whether the @trend is significant? Shall I look at coefficient or the statistic? Furthermore, I run la...

The stock price that I use is a finance index after applying natural logarithmic. I just found out that M2 also has similar attributes whereby it seems to have deterministic trend. It is non stationary at level. But showing some up trend. After detrending, I run ADF (intercept only) and it is showin...

I have few 4 time series data: stock price, M2, CPI and interest rates. M2, CPI and interest rates are all I(1). As for stock price, it is non-stationary, but it seems like having deterministic trend. After detrending and running ADF on level with intercept on residual data, it is showing stationari...

I am trying to do cointegration test on the long run equilibrium relationship between stock price and macroeconomic variables. I have tested those series with ADF and all of them are I(1). But somehow, I am confused with the difference between unrestricted cointegration, restricted cointegration and...