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VECM p-values and @tdist
Posted: Fri May 29, 2015 9:10 am
by Dickson
I am running a VECM model, but it does not provide the p-values for my coefficients. I noticed similar threads, where the suggestions are to use the function @tdist. I would like to know how exactly to apply this function. Thank you!
Re: VECM p-values and @tdist
Posted: Fri May 29, 2015 9:16 am
by EViews Gareth
Code: Select all
Scalar mypval = @tdist(tstat, df)
Where tstat is the t-statistic, and df are the degrees of freedom.
Re: VECM p-values and @tdist
Posted: Fri May 29, 2015 9:27 am
by Dickson
Thank you, Gareth! So tstat is what the VECM has generated, and degrees of freedom would be N-1, correct?