VECM best model flow
Posted: Thu Aug 14, 2014 6:57 pm
Hi,
Currently i'm doing a vecm model to find the relationship of npl in banking industry and macro variables. Some test that I used before using vecm were, unit root test (ADF and PP test), optimum lag using AR Root test and Johanssen cointegration test. After some test I get vecm model for my work,but for vecm is there any diagnostics test before we used it in impulse response and variance decomposition? What kind of diagnostic test that i have to check and in what menu in eviews can i use for that test?
Thank you.
Currently i'm doing a vecm model to find the relationship of npl in banking industry and macro variables. Some test that I used before using vecm were, unit root test (ADF and PP test), optimum lag using AR Root test and Johanssen cointegration test. After some test I get vecm model for my work,but for vecm is there any diagnostics test before we used it in impulse response and variance decomposition? What kind of diagnostic test that i have to check and in what menu in eviews can i use for that test?
Thank you.