exogenous variables and cointegration

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

hetero
Posts: 18
Joined: Tue Sep 08, 2009 11:40 am

exogenous variables and cointegration

Postby hetero » Mon Nov 02, 2009 5:11 am

My question has to do with the Johansen cointegration technique and with the associated error-correction model.
The question is how can I define a list of exogenous I(1) variables whose effects are assumed to be confined to the cointegrating relationships (restricted actually to the cointegrating space)?
The current selection (E-views 6.0) in the vector error correction model specification window defines only exogenous variables that are not included within the cointegrating relationships

Regards

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 1 guest