Cointegration vector falls out of range
Posted: Tue Jul 15, 2014 2:21 pm
Hello all
Would really appreciate help here.
Am doing a price transmission study using only 2 price series which are I(1) both and showed 1 cointegrating equation when carrying out the Johansen test. Now when i run the VECM, results show there is a long causality running from the exogenous variable to the endogenous variable. Now the problem i have is i expected the cointegration vector i.e. the long run elasticity to fall between 1>β>0 but am getting 1.16. could this be corrected and how?
All help highly appreciated.
Would really appreciate help here.
Am doing a price transmission study using only 2 price series which are I(1) both and showed 1 cointegrating equation when carrying out the Johansen test. Now when i run the VECM, results show there is a long causality running from the exogenous variable to the endogenous variable. Now the problem i have is i expected the cointegration vector i.e. the long run elasticity to fall between 1>β>0 but am getting 1.16. could this be corrected and how?
All help highly appreciated.