VECM
Posted: Thu May 04, 2017 6:01 am
by j235
I am performing VECM and I have some dilemmas. Namely for choosing the best VECM model, which variables is most important ( RMSE, R², AIC, SC ) ?
Re: VECM
Posted: Sat May 20, 2017 11:46 am
by Frencholivier
none of those are important. There is only one VECM --the one that fulfills all the requirements. The attractiveness of the VECM is that (1) you test for the existence of a long run relationship and (2) you extract a long run structure from the data (structure to be interpreted). Measures of fit are really secondary.