This is the first time I am using eviews and estimating VECM also for the first time.
I have 8 price series.
I test for unit root.
If they are I(1) then I proceed to test for cointegration.
If the number of cointegrating vectors is 3 and I need to estimate a VECM, how do I proceed? There are many options in VECM model, which one and how should I choose? I tried putting number of cointegration vectors = 3. So I get a huge output. I need help with interpreting the output too.
Part of my output looks like this:
Error Correction: D(SERIES01) D(SERIES02) D(SERIES03) D(SERIES04) D(SERIES05) D(SERIES06) D(SERIES07) D(SERIES08)
CointEq1 -0.222185 0.080043 0.060550 -0.095588 0.064700 -0.320892 0.041891 -0.040146
(0.13319) (0.09548) (0.05344) (0.11356) (0.13674) (0.08887) (0.06380) (0.05322)
[-1.66823] [ 0.83836] [ 1.13296] [-0.84172] [ 0.47315] [-3.61078] [ 0.65664] [-0.75434]
CointEq2 0.222334 -0.125470 -0.049803 0.126092 -0.134694 0.418552 -0.097984 0.008127
(0.16809) (0.12050) (0.06745) (0.14332) (0.17258) (0.11216) (0.08051) (0.06717)
[ 1.32271] [-1.04127] [-0.73837] [ 0.87977] [-0.78048] [ 3.73173] [-1.21697] [ 0.12100]
CointEq3 0.003823 0.027130 -0.006996 -0.011631 0.028453 -0.059499 0.027052 0.046693
(0.02893) (0.02074) (0.01161) (0.02467) (0.02970) (0.01930) (0.01386) (0.01156)
[ 0.13215] [ 1.30820] [-0.60264] [-0.47153] [ 0.95792] [-3.08220] [ 1.95217] [ 4.03916]
D(SERIES01(-1)) 0.232206 0.105103 0.032242 -0.042304 -0.234120 0.261871 0.052213 0.024872
(0.16463) (0.11802) (0.06606) (0.14038) (0.16903) (0.10985) (0.07886) (0.06579)
[ 1.41045] [ 0.89057] [ 0.48805] [-0.30136] [-1.38509] [ 2.38382] [ 0.66211] [ 0.37807]
D(SERIES01(-2)) 0.088389 0.109804 0.075732 -0.119245 -0.076202 0.049724 -0.020329 0.001483
(0.16136) (0.11567) (0.06475) (0.13758) (0.16567) (0.10767) (0.07729) (0.06448)
[ 0.54778] [ 0.94928] [ 1.16963] [-0.86671] [-0.45998] [ 0.46182] [-0.26303] [ 0.02300]
Help with estimating VECM
Moderators: EViews Gareth, EViews Moderator
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