VECM p-values and @tdist

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Dickson
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Joined: Tue Dec 30, 2014 8:10 am

VECM p-values and @tdist

Postby Dickson » Fri May 29, 2015 9:10 am

I am running a VECM model, but it does not provide the p-values for my coefficients. I noticed similar threads, where the suggestions are to use the function @tdist. I would like to know how exactly to apply this function. Thank you!
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EViews Gareth
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Re: VECM p-values and @tdist

Postby EViews Gareth » Fri May 29, 2015 9:16 am

Code: Select all

Scalar mypval = @tdist(tstat, df)
Where tstat is the t-statistic, and df are the degrees of freedom.
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Dickson
Posts: 12
Joined: Tue Dec 30, 2014 8:10 am

Re: VECM p-values and @tdist

Postby Dickson » Fri May 29, 2015 9:27 am

Thank you, Gareth! So tstat is what the VECM has generated, and degrees of freedom would be N-1, correct?
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