Can someone help me out with the Engle-Grander 2step method?
Posted: Fri Nov 27, 2009 11:03 pm
I have two series of data: Oracle and S&P500, both twenty years and monthly from yahoo.
After using Eviws function, I got results that they are not stationary and cointegrated. My teacher is requiring us to do the question "Finally, if they are cointegrated specify an error-correction model (in theoretical format) and then estimate it. Report and interpret the results."
Additonally, if not, using another model and he refering to Engle-grander model.
So How can I do with the EG model? I have read the steps of it but I couldn't really understand some points. Can somebody directly tell me what to do in Eviews and specify the steps? Thank you for your help! My assignment is gonna be due soon! Crying... The attachment is a workfile.
After using Eviws function, I got results that they are not stationary and cointegrated. My teacher is requiring us to do the question "Finally, if they are cointegrated specify an error-correction model (in theoretical format) and then estimate it. Report and interpret the results."
Additonally, if not, using another model and he refering to Engle-grander model.
So How can I do with the EG model? I have read the steps of it but I couldn't really understand some points. Can somebody directly tell me what to do in Eviews and specify the steps? Thank you for your help! My assignment is gonna be due soon! Crying... The attachment is a workfile.