weakly exogenous variables
Posted: Mon Apr 14, 2014 2:53 pm
Hi,
I am running cointegration and VECM models and I found three of my four endogenous variables are weakly exogenous.
Where do I go from there? How do I simply the model? Do I put restrictions: alphas are zero and run VECM?
Thanks a lot.
KateK
I am running cointegration and VECM models and I found three of my four endogenous variables are weakly exogenous.
Where do I go from there? How do I simply the model? Do I put restrictions: alphas are zero and run VECM?
Thanks a lot.
KateK