help - ecm

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

ANDROO1988
Posts: 14
Joined: Mon Sep 23, 2013 2:06 pm

help - ecm

Postby ANDROO1988 » Sat Sep 06, 2014 12:48 am

Hello,

I want do vecm. I have 5 I(1) series.


How do I construct an error-correction model? i want u]ecm(-1) or coefficients for speed of adjustment of variables.[/u]

I read this page:
http://forums.eviews.com/viewtopic.php?f=4&t=8508 and this:

http://www.google.com/url?sa=t&rct=j&q= ... 2593,d.b2I

but i need help again.
Thank you in advance :)
this is vecm estimation results:
Vector Error Correction Estimates
Date: 09/06/14 Time: 13:00
Sample (adjusted): 2000M06 2013M12
Included observations: 158 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

Y(-1) 1.000000

X1(-1) -1.397010
(0.36344)
[-3.84390]

X2(-1) -7.016740
(0.66521)
[-10.5482]

X3(-1) 2.078240
(0.83357)
[ 2.49318]

X4(-1) 4.650890
(0.41055)
[ 11.3285]

C -44.64200

Error Correction: D(Y) D(X1) D(X2) D(X3) D(X4)

CointEq1 -0.002069 0.010549 0.000849 -0.003118 -0.054578
(0.00370) (0.00747) (0.00077) (0.00372) (0.00513)
[-0.55940] [ 1.41129] [ 1.10461] [-0.83851] [-10.6440]

D(Y(-1)) 0.614644 0.315297 -0.003015 -0.149740 -0.058028
(0.08309) (0.16795) (0.01728) (0.08354) (0.11521)
[ 7.39766] [ 1.87732] [-0.17451] [-1.79246] [-0.50367]

D(Y(-2)) -0.169307 -0.085108 0.002706 0.043827 -0.100256
(0.08225) (0.16625) (0.01710) (0.08270) (0.11405)
[-2.05851] [-0.51191] [ 0.15822] [ 0.52997] [-0.87908]

D(X1(-1)) 0.030470 0.223991 0.005502 0.021697 0.018647
(0.04006) (0.08098) (0.00833) (0.04028) (0.05555)
[ 0.76058] [ 2.76593] [ 0.66044] [ 0.53864] [ 0.33566]

D(X1(-2)) 0.024109 0.012772 0.004107 0.023406 -0.027465
(0.03937) (0.07958) (0.00819) (0.03958) (0.05459)
[ 0.61237] [ 0.16049] [ 0.50169] [ 0.59129] [-0.50308]

D(X2(-1)) 0.821741 -0.497838 0.437746 0.108007 -0.648769
(0.40438) (0.81740) (0.08408) (0.40658) (0.56072)
[ 2.03212] [-0.60905] [ 5.20614] [ 0.26565] [-1.15702]

D(X2(-2)) -0.222444 -1.046274 0.128941 0.873494 -0.088592
(0.41049) (0.82976) (0.08535) (0.41273) (0.56920)
[-0.54190] [-1.26094] [ 1.51067] [ 2.11641] [-0.15564]

D(X3(-1)) -0.018127 0.258855 0.011447 -0.031560 -0.008566
(0.08090) (0.16353) (0.01682) (0.08134) (0.11218)
[-0.22407] [ 1.58293] [ 0.68050] [-0.38800] [-0.07636]

D(X3(-2)) 0.050773 0.081767 0.014264 -0.032122 -0.053014
(0.08128) (0.16430) (0.01690) (0.08172) (0.11270)
[ 0.62468] [ 0.49768] [ 0.84402] [-0.39306] [-0.47039]

D(X4(-1)) 0.001433 0.094360 0.006981 -0.033711 -0.390975
(0.04948) (0.10003) (0.01029) (0.04975) (0.06862)
[ 0.02895] [ 0.94333] [ 0.67844] [-0.67755] [-5.69786]

D(X4(-2)) -0.023560 -0.011909 0.009596 -0.012173 -0.154534
(0.05168) (0.10447) (0.01075) (0.05196) (0.07166)
[-0.45587] [-0.11399] [ 0.89292] [-0.23426] [-2.15634]

C 0.004734 0.020649 0.005240 -0.009734 0.062481
(0.00774) (0.01565) (0.00161) (0.00779) (0.01074)
[ 0.61133] [ 1.31924] [ 3.25474] [-1.25033] [ 5.81924]

R-squared 0.360335 0.133437 0.276194 0.061167 0.508854
Adj. R-squared 0.312141 0.068148 0.221661 -0.009567 0.471850
Sum sq. resids 0.266517 1.089000 0.011523 0.269431 0.512452
S.E. equation 0.042725 0.086365 0.008884 0.042958 0.059245
F-statistic 7.476778 2.043795 5.064695 0.864740 13.75127
Log likelihood 280.2157 169.0172 528.3617 279.3568 228.5680
Akaike AIC -3.395135 -1.987559 -6.536224 -3.384263 -2.741367
Schwarz SC -3.162533 -1.754957 -6.303622 -3.151661 -2.508765
Mean dependent 0.022832 0.009732 0.013582 0.000000 0.030678
S.D. dependent 0.051515 0.089467 0.010070 0.042754 0.081521

Determinant resid covariance (dof adj.) 6.08E-15
Determinant resid covariance 4.10E-15
Log likelihood 1496.183
Akaike information criterion -18.11624
Schwarz criterion -16.85631

ANDROO1988
Posts: 14
Joined: Mon Sep 23, 2013 2:06 pm

Re: help - ecm

Postby ANDROO1988 » Sun Sep 07, 2014 6:31 am

plz help me.......................


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests