Dear all,
How do I get the correct p-values for my cointegration vector parameters?
For instance, can I use a p-value calculator and if yes, how do I know my degrees of freedom?
I would highly appreciate your kind help.
Thanks a lot.
V
Search found 2 matches
- Thu Dec 08, 2011 9:15 am
- Forum: Econometric Discussions
- Topic: p-value for cointegration vector estimates
- Replies: 0
- Views: 1754
- Sun May 29, 2011 1:08 am
- Forum: Econometric Discussions
- Topic: VAR instead of VECM?
- Replies: 0
- Views: 1782
VAR instead of VECM?
Dear all, I have four variables in log form (sa,m,g,y) which are non-stationary but cointegrated. When estimating a VECM (sa m g y), the model shows up strong signs of instability according to Eviews and other packages. The questions is why (!???) but I couldn't figure it out. As I am mainly interes...