exogenous variables and cointegration
Posted: Mon Nov 02, 2009 5:11 am
My question has to do with the Johansen cointegration technique and with the associated error-correction model.
The question is how can I define a list of exogenous I(1) variables whose effects are assumed to be confined to the cointegrating relationships (restricted actually to the cointegrating space)?
The current selection (E-views 6.0) in the vector error correction model specification window defines only exogenous variables that are not included within the cointegrating relationships
Regards
The question is how can I define a list of exogenous I(1) variables whose effects are assumed to be confined to the cointegrating relationships (restricted actually to the cointegrating space)?
The current selection (E-views 6.0) in the vector error correction model specification window defines only exogenous variables that are not included within the cointegrating relationships
Regards