VECM and Cointegration

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leo1
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Joined: Mon Feb 02, 2015 8:10 am

VECM and Cointegration

Postby leo1 » Mon Feb 02, 2015 8:20 am

Hi!

I am pretty new to econometric research, and I am writing a thesis where I am trying to find SR and LR relationships in time series. I have weekly data for 15 years. I am estimating the VECM, and having troubles reading and understanding my results. Because I thought my data from VECM should be between 0 and -1. But it turns out that when i am estimating VECM I get -1,09. Which number is the correct row and column to read from?

Error Correction: D(x1) d(x2)
CointEq1 -1,088 0.118
(0,06) (0,342)
[-16,6] (0.345)
D(x1) 0,016 -0,12
(0,05) (0,27)
[0,31] [-0,47]
....

Rsquared 0,52 0,32


What does this mean?

In advance, thank you!

Br Leo

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