lags in VECM estimation and forecasting
Posted: Sun Oct 25, 2015 7:14 am
Why are lags not permitted in VECM estimation and forecasting?
Code: Select all
wfcreate m 2001 2020
series a = nrnd + 100
series b = nrnd + 100
var var01.EC(C,1) 1 6 LOG(a) LOG(b(-5))
model model01
model01.merge var01
show model01