VECM examples
Posted: Thu Mar 04, 2010 5:42 pm
Hi,
I am looking for some good examples of multivariate VECMs with data that I can replicate in EViews. While I have a basic grasp of VECMs, I would like a worked example so that I can actually go through the whole process and make sure my understanding is correct. The examples I have seen (such as Lutkepohl's "New Introduction to Multiple Time Series Analysis) tend to be bivariate which have not been terribly useful when it comes to situations when the rank of alpha-beta' is greater than one.
thanks
andrew
I am looking for some good examples of multivariate VECMs with data that I can replicate in EViews. While I have a basic grasp of VECMs, I would like a worked example so that I can actually go through the whole process and make sure my understanding is correct. The examples I have seen (such as Lutkepohl's "New Introduction to Multiple Time Series Analysis) tend to be bivariate which have not been terribly useful when it comes to situations when the rank of alpha-beta' is greater than one.
thanks
andrew