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Estimating Cointegration with Exogenous Variables
Posted: Wed Oct 07, 2015 3:20 pm
by Mutawakil
I am trying to estimate a cointegration relationship among variables. However, one of the variables is exogenous whilst the rest are endogenous. Can anyone advice me on how to estimate the cointegration relationship with an exogenous variable in Eviews.
Thank you
Re: Estimating Cointegration with Exogenous Variables
Posted: Thu Oct 29, 2015 2:01 am
by honeygupta
Hello Sir,
I have a quarterly data of 6 countries for a period of 15 years with 11 explanatory variables. when i am proceeding to panel co-integration, only two type of test (kao and Fisher) is showing in software not Pedroni.
And another problem is that when i am considering only these two test and proceed further for co integration equation and VECM by go to estimate equation. In the estimation method setting the option for co-integration equation is also not showing there.
Please tell me sir what is the reason or problem here.
Re: Estimating Cointegration with Exogenous Variables
Posted: Thu Oct 29, 2015 11:51 pm
by honeygupta
Sir Please reply me