In testing and estimating a VECM, Johansen method uses the product moment matrices Sij to derive the eigenvalues and eigenvectors by solving the determinantal equation:
| lambda*S11 - S10*S00^-1 *S01 | = 0
I assume EViews procedure uses the same formula by taking advantage of the reduced rank regression.
My question is, is there a way in EViews to retrieve the Sij matrices after it has run the Johansen estimation of a VEC model?
The reason I need Sij is that I'm trying to derive the orthogonal complements of both the adjustment vector Alpha and the cointegration vector Beta (Alpha^perp and Beta^perp), which will be later used for the permanent and transitory decomposition of a multivariate time series system.
I'd appreciate any help or information anyone can provide.
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.
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