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- Fri Jan 10, 2014 10:13 pm
- Forum: Estimation
- Topic: Degrees of freedom for a liklihood ratio test on VECM coefs
- Replies: 0
- Views: 1621
Degrees of freedom for a liklihood ratio test on VECM coefs
I am imposing restrictions a cointegrating vector in a VECM. My understanding is that the proper critical values are those of a chi-squared distribution with degrees of freedom equal to the number of restrictions placed on the cointegrating vector. I have placed four restrictions on a vector. Howeve...