How can I test the coefficient of the cointegration vectors?

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udem
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Joined: Fri May 27, 2016 12:54 pm

How can I test the coefficient of the cointegration vectors?

Postby udem » Fri May 27, 2016 1:03 pm

I have estimated VECM and I want to test if the coefficients of the cointegration vector sum to zero.

In particular, I would like to test: B(1,1) + B(1,2) + B (1,3) + B (1,4) = 0

How can I do it?

Thank you!
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