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- Tue Jul 27, 2010 6:36 am
- Forum: Estimation
- Topic: Hypothesis Testing in VEC Model
- Replies: 0
- Views: 1501
Hypothesis Testing in VEC Model
LS, I have the following Vector Error Correction Model: Δ(y_t) = α β' y_(t-1) + G1 Δ(y_(t-1)) + G2 Δ(y_(t-2)) + e_t, where Δ denotes the first difference operator, y_t is a 2x1 vector of variables at time t, α is a 2x1 vector of adjustment coefficients, β is a 2x1 vector of cointegration equation co...