VECM estimation output coefficients for ∆y_t
Posted: Thu Aug 21, 2014 8:12 pm
Hi,
I am estimating demand for electricity using VECM.
The dependent variable is e_t and independent variables are y_t, p_t, etc.
In computing short run elasticity of demand I need to get coefficient for ∆y_t.
The VECM estimation output only shows coefficients for lags of the independent variables such as ∆y_(t-1), ∆y_(t-2), ..., and not for ∆y_t.
Is there a way to get the coefficients for ∆y_t, and ∆p_t?
Thanks a lot.
I am estimating demand for electricity using VECM.
The dependent variable is e_t and independent variables are y_t, p_t, etc.
In computing short run elasticity of demand I need to get coefficient for ∆y_t.
The VECM estimation output only shows coefficients for lags of the independent variables such as ∆y_(t-1), ∆y_(t-2), ..., and not for ∆y_t.
Is there a way to get the coefficients for ∆y_t, and ∆p_t?
Thanks a lot.