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- Mon Mar 12, 2012 11:14 am
- Forum: Estimation
- Topic: VECM Estimation Discrepancy
- Replies: 1
- Views: 2811
VECM Estimation Discrepancy
Hello, I've been estimating VECMs using the VAR object and running a few tests related to the effect of model misspecification using simulated data. In particular, I've been looking at estimating a VECM with 2 cointegration vectors when the simulated data has only 1 cointegrating relationship. From ...