VECM
Posted: Tue Dec 20, 2016 6:10 am
I am calculating VECM. In this model I am using three variables (x,y,z). Here for me most important is variable X because lately am planing to make forecasting with equation for this variable. With Y and Z i don't have plan to making forecast. After performing VECM I got significant values for X in first equation (e.g EC is negative and significant,R-square is around 0,8 , F-statistics is significant, no serial correlations, normal residuals etc.) but I don't have significant results for second equations for Y, and third equations for Z.
What should I do ? Does I should fix other two equations for Y and Z ? or I can make good forecasting only with first equation ?
What should I do ? Does I should fix other two equations for Y and Z ? or I can make good forecasting only with first equation ?