Dear Gareth
Thank you very much for your quick reply. Lütkepohl and Reimers (1992) simply describe the transformation process to a VAR in levels so that the VECM impulse responses can be computed.
Kind regards
Moldini
Search found 2 matches
- Fri Aug 30, 2013 2:35 pm
- Forum: Estimation
- Topic: VECM Impulse Responses
- Replies: 3
- Views: 3646
- Fri Aug 30, 2013 9:38 am
- Forum: Estimation
- Topic: VECM Impulse Responses
- Replies: 3
- Views: 3646
VECM Impulse Responses
Dear EViews Forum Team Can you confirm that in Eviews, the impulse responses for a VECM are calculated from a VAR in levels as suggested by Lütkepohl and Reimers (1992)? Lütkepohl, H. and Reimers, H.-E. (1992). Impulse response analysis of cointegrated systems. Journal of Economic Dynamics and Contr...