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- Fri Oct 19, 2012 7:13 pm
- Forum: Estimation
- Topic: VECM-restriction-inference
- Replies: 0
- Views: 2092
VECM-restriction-inference
hello, can someone tell me how can I put a restriction on the intercept (C) that is included in the cointegrating vector (cointequ1) in order to get the lr-statistic and p-value. I have a VECM with two endogenous variables one cointegrating vector (r=1), and the deterministic trend chosen is a restr...