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Alternatively, how do I calculate the degrees of freedom? I have lag 3 in differences, 4 endogenous variables, 3 exogenous variables, 1 cointegrating equation with the endogenous variables. Thanks!

Hi, hope someone can help me with this or point me to where I can locate this information. How do I determine the p-vale or the statistical significance of the coefficients in a vecm? I've tried looking at the help file but it doesn't say how, it just mentioned something vague like how to open the c...

I hope someone responds to your question on the differencing of terms for your model, because I'm having the same problem myself! My y variable is I(0) but x variables a variant of I(1) and I(2) terms. With regard to Johansen, why would you want to include y in the test since it is I(0) and therefor...

Thanks for the helpful reply!

Hi, would appreciate any thoughts on whether i'm specifying the model below correctly, if i am interpreting the coefficients accurately, if there is another way to do it more elegantly or if i'm committing any unpardonable econometrics error. Problem: Per Capita Tourism Expenditure (PCE) = Length of...

Hi I am running a regression and have a coefficient for x with a negative value which I know should be positive. I want to add another variable to the model that is negatively correlated with x, but due to the correlation between the variables I'm think that there will be multicollinearity. Is there...