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- Fri Aug 27, 2010 8:38 am
- Forum: Econometric Discussions
- Topic: Constant in Cointegrating Equation
- Replies: 0
- Views: 1947
Constant in Cointegrating Equation
I have a question regrarding estimating a vector error correction model (VECM). When estimated with constant in the cointegrating equation and VAR portions there is not a t-stat for the constant in the cointegrating equation. Is there an easy explanation for this? I'm guessing it has something to do...