Significance VECM coefficients Eviews

[DaanN]

Dear all,

I just bought Eviews 8 and executed a VECM estimation. The output merely shows a t-value and a standard error but not the level of significance.Somebody else asked this question earlier (see link underneath my message) and the answer said you'd have to look in the help/manual of eviews, I did so, but could not find this issue being mentioned and how I can determine the significance level myself.

I'd highly appreciate it if somebody can tell me:
- Why is the significance of the coefficients not reported?
- How can I determine it myself?

Please help me with this.

http://forums.eviews.com/viewtopic.php?f=18&p=14229

[DaanN]

Can somebody please help me with this? Eviews Gareth, are you there?

[EViews Glenn]

We don't put the p-value due to space considerations. You can use the @tdist function with the reported t-statistics to determine the p-values.

[Nuttela]

Hi Eviews Glenn,

Could you please specify the critical values that the t-statistic from the VECM estimation can be compared to? Unlike with other tests, the output for this test does not provide a reference or source for critical values.

Also, if the t-stat. is negative, do we use the negative number? Or do we always use absolute numbers?

I would really appreciate the clarification!

Many thanks.

[Nuttela]

Is anyone able to help with the above, please?

[EViews Glenn]

@tdist of absolute values will give you the two-sided p-value.

[Nuttela]

We don't put the p-value due to space considerations. You can use the @tdist function with the reported t-statistics to determine the p-values.

Hi Eview Glenn,

I am sorry to bother you againt but I haven't used the @tdist function before and I really need to obtain the critical values for the VECM model.

Could you please explain how exactly to apply the following function? i.e. when I use the function in the command window, it produces an error. So I am guessing, that I need to specifiy the model that it needs to pick up? Could you outline how to do this?

Thank you in advance - really appreciate your help.