Impulse Responses and Variance Decompositions on a VECM

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jlevo
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Joined: Mon Mar 11, 2013 2:50 pm

Impulse Responses and Variance Decompositions on a VECM

Postby jlevo » Tue Mar 12, 2013 4:22 am

I am trying to run both impulse response functions and also variance decompositions on a Vector Error correction model. Any attempt i make seems to use the original input series for my model - rather than the the differenced series and error correction term calculated in the model.

Is there a method by which I can calculate the impulse response functions and variance decompositions using the VECM data.

Many thanks, James
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jlevo
Posts: 6
Joined: Mon Mar 11, 2013 2:50 pm

Re: Impulse Responses and Variance Decompositions on a VECM

Postby jlevo » Tue Mar 12, 2013 5:46 am

Please note I am using EViews 7.2 (Student Edition)
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jlevo
Posts: 6
Joined: Mon Mar 11, 2013 2:50 pm

Re: Impulse Responses and Variance Decompositions on a VECM

Postby jlevo » Wed Mar 13, 2013 5:51 am

I know I'm new here, but I really could do with some assistance on this issue, it's really holding me back at the moment. Thanks again.
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jlevo
Posts: 6
Joined: Mon Mar 11, 2013 2:50 pm

Re: Impulse Responses and Variance Decompositions on a VECM

Postby jlevo » Wed Mar 20, 2013 6:36 am

Anyone?
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