Time trend in VECM trouble

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Benny
Posts: 1
Joined: Fri Aug 22, 2014 2:38 pm

Time trend in VECM trouble

Postby Benny » Fri Aug 22, 2014 2:47 pm

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.

Chthoniid
Posts: 24
Joined: Mon Oct 22, 2012 6:02 pm

Re: Time trend in VECM trouble

Postby Chthoniid » Mon Sep 01, 2014 3:36 pm

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?


Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 1 guest