Error correction Mechanism help

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thefan
Posts: 7
Joined: Fri Apr 17, 2009 12:11 pm

Error correction Mechanism help

Postby thefan » Sun Apr 19, 2009 12:29 am

Hi,
I ran the engle granger test on the following equation

TB=b0+b1ER+b2Y+b3Y*

I found the error term to be stationary indicating there is cointegration with the variables. Now I need to run the ECM for the Engle-Granger but I don't know how to do so in EViews.

Can someone please write down the steps of running an ECM for this model. I'm using EViews 6. I know that for Johansen the VECM is different and this can be obtained from view----->Cintegration in EVIews. but how to run an ECM for EngleGranger please help.


thank you

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