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Dear all, I have a small question concerning the procedure, when reducing a VEC-model to a single-equation error-correction model. To fix ideas, here a concrete example: In a VEC-model with four included variables (lags 1 to 7), with one cointegrating equation, I find that the loading coefficients o...

Dear EViews-Team, I'd like to pose you some small questions concerning the Johansen test procedure for finding cointegration. Here are my questions: 1. Concerning the choice of the lag length: in the literature one can find two ways of selecting the optimal lag length. First, as Johansen suggested, ...