EViews.com

Okay, thanks... I will go back and take a closer look at my methodology I guess. I really appreciate your help and explanation of the issue.

I just use the 'Quick-> Estimate VAR' function. Choose VEC. Use all my variables (yt pt it et yt_ pt_ it_) for the endogenous variables. Keep it at '1 2' for lags. For 'Cointegrating' I use rank 2 and option 3. I don't enter any restrictions in this window and then click 'Ok'. I then do 'View->Coint...

I am very new to VEC models. But when I run a test on one of my cointegration vectors I seem to get weird degrees of freedom. Shouldn't the degrees of freedom for when 'Hypothesised No. of CE(s)' =2 be 5 instead of 17? [see picture] I keep getting similar results when I test other restrictions. Any ...