VECM: F-Test

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Tim
Posts: 1
Joined: Tue Jul 21, 2009 3:24 am

VECM: F-Test

Postby Tim » Wed Jul 22, 2009 8:41 pm

Dear EViews User Community,

I am not sure whether my post is clear enough since I have not yet received any suggestions. Nevertheless, please let me know if I could help clarify this.

I have estimated VECM. Results for the short-run dynamics show that all four coefficients of lagged variable in first difference, for one of the explanatory variables, are NOT individually statistically significant. That is

D(X(-1)) Statistically INsignificant
D(X(-2)) Statistically INsignificant
D(X(-3)) Statistically INsignificant
D(X(-4)) Statistically INsignificant

I would like to perform F-test on these taken together. Could you please give me suggestions how to implement it in EViews?

Thank you very much for your help.

Tim

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