Search found 4 matches
- Thu Mar 07, 2013 5:39 am
- Forum: Estimation
- Topic: Calculation of (System) Log Likelihood in VECM
- Replies: 3
- Views: 3593
Re: Calculation of (System) Log Likelihood in VECM
Ok, thank you!
- Wed Mar 06, 2013 9:41 am
- Forum: Estimation
- Topic: Calculation of (System) Log Likelihood in VECM
- Replies: 3
- Views: 3593
- Tue Mar 05, 2013 10:02 am
- Forum: Estimation
- Topic: Calculation of (System) Log Likelihood in VECM
- Replies: 3
- Views: 3593
Calculation of (System) Log Likelihood in VECM
Dear friends, I want to calculate the (system) log likelihood value for a vecm myself. I can calculate the determinant of the residual covariance (degree of freedom adjusted) but fail to calculate the log likelihood (cf. Eviews User Guide II p. 461f). I attached an excel file with the calculations. ...
- Wed Feb 06, 2013 6:06 am
- Forum: Econometric Discussions
- Topic: VECM: Deterministic Factors & t-stat for CointEq in EC
- Replies: 0
- Views: 1756
VECM: Deterministic Factors & t-stat for CointEq in EC
Dear users, I have 1 problem and 1 question. I apply the VECM for a time series. My dependent variable is default probablity and all variables are I(1). My problem: I want to determine the deterministic components for my VECM. My independent variables have different deterministic components so I can...