Search found 3 matches

by derksheng
Sat Dec 29, 2012 1:42 am
Forum: Econometric Discussions
Topic: (VECM) Exogenous variables is cointegrating relationship?
Replies: 2
Views: 4153

Re: (VECM) Exogenous variables is cointegrating relationship

I want variables to appear in the error correction term but not elsewhere. For example,

Image
by derksheng
Fri Dec 28, 2012 2:15 am
Forum: Econometric Discussions
Topic: (VECM) Exogenous variables is cointegrating relationship?
Replies: 2
Views: 4153

(VECM) Exogenous variables is cointegrating relationship?

In E-Views, we can specify exogenous variables that appear in the main VECM equation, but how can we make exogenous variables appear in the cointegrating relationship (that don't get included into the differenced part of the VECM)?
by derksheng
Thu Jun 21, 2012 7:20 am
Forum: Econometric Discussions
Topic: Why is there endogeneity in this specification?
Replies: 0
Views: 1776

Why is there endogeneity in this specification?

Hi guys, I am trying to learn why there is endogeneity in the following OLS estimated regression model: http://i50.tinypic.com/2wgfams.jpg A big part would be because the differenced Leverage independent variable is correlated with the error term, largely because of omitted variables. But I'm lookin...

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