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Hello, I have two time series in which they are irregularities (i.e. data for one serie in some dates and not for the other serie). I would like to convert the data into a regular set of data in which there are observations in both series for each date. Can I add observations in any blanks that corr...

I've just forgotten to upload my eviews file in my last post... Here it is:

I think two interesting references for you are: Lutkepohl and Kratzig , Applied Time Series Econometrics (2004), and Mosconi and Giannini, Non-causality in cointegrated systems: representation, estimation and testing (1992, Oxford bulletin of economics and statistics). In page 146 of Lutkepohl and K...

two stage ols?

Hello, I have a question about Granger causality tests on a VECM. Are the adjustment and cointegrating parameters taken into account in the tests? They would have to be (with respect to a VAR), but I don't know if they are in Eviews. Can someboby help me? With usual notations, gammas are the VAR par...

ML is used for cointegration equation, but what is the method for the VAR part of the VECM? In the Johansen (1991) paper, ML is used in both cases, but I'm not that it is the case in Eviews. Can you hlep me please?

Hello,

I just want to know what is the estimation method used by eviews to estimate a vecm? Ols? Maximum Likelihood?
I can't find the answer in the users' guide.
Thank you.

Vincent