VECM and VAR
Posted: Tue Oct 27, 2009 4:29 pm
Hi,
I have a 10 variable VAR. 6 of the variables are I(1), 4 are I(0).
The Johansen cointegration test of the 6 I(1) variables results in a number of cointegration equations.
Can EViews automatically estimate the full VAR including the error corrections or do I have to specify it manually?
I have a 10 variable VAR. 6 of the variables are I(1), 4 are I(0).
The Johansen cointegration test of the 6 I(1) variables results in a number of cointegration equations.
Can EViews automatically estimate the full VAR including the error corrections or do I have to specify it manually?