Hello,
I am just trying to run a time trend in a VECM. I have included a time trend in the form 1,2,3,4,5 etc. up to my total number of observation, but I have got the reply near singular matrix.
then I tried 0+1, 0+2, 0+3 ect. again up to my total obs, however the reply I get is alpha series in specification - TT.
So I am just wondering what is the correct way to run a time trend in a VECM.
Many thanks.
Time trend in VECM trouble
Moderators: EViews Gareth, EViews Moderator
Re: Time trend in VECM trouble
I'm afraid you can't include time trends.
A VECM is estimated on differenced data, so is detrended.
Perhaps some period dummies may work if it is just some periods that interest you?
A VECM is estimated on differenced data, so is detrended.
Perhaps some period dummies may work if it is just some periods that interest you?
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