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- Thu Aug 26, 2010 6:17 am
- Forum: Econometric Discussions
- Topic: VECM restrictions
- Replies: 0
- Views: 3374
VECM restrictions
Dear Sirs, I have a problem regarding imposing restrictions on the VECM. I'm doing a test on the unbiasedness hypothesis, more specifically testing the restrictions B(1,1)=0 and B(1,2)= -1 in the cointegrating relationship B'Xt-1 = ( 1 B1 B2) (St-1 1 Ft-1;t-n-1)'. If these restrictions hold, then th...