impose restriction in vecm

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026173
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Joined: Wed Dec 15, 2010 5:46 pm

impose restriction in vecm

Postby 026173 » Thu Dec 16, 2010 4:39 am

My output equation is GDP = CPI + M1 + TBILL

If i want to test null hypothesis of (coefficient of M1) =0 by using vec restriction

Following is given by eview when i click on VEC Retrictionn.

Restrictions may be placed on the coefficients B(r,k) of the r-th
cointegrating relation:

B(r,1)*GDP + B(r,2)*CPI + B(r,3)*M1 + B(r,4)*TBILL

So can i just type B(1,3)=0 ??


If i type

B(1,1)=1, B(1,3)=-1

what null hypothesis i am testing?? thank you!

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