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- Wed Jun 16, 2010 9:11 am
- Forum: Estimation
- Topic: adjustment parametr "Phi" ECM
- Replies: 0
- Views: 1502
adjustment parametr "Phi" ECM
my academic project for operation research is to make a Engle-Granger model. i've got problem with adjustment parametr "phi" ( by ECM and VECM )( i dont know is it the official name for it - my PhD uses it so let me use it even it's wrong in English ) general ECM: d(logYt) = alfa d(logXt) ...