unrestricted and restricted cointegration and VECM

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

shevchenko62
Posts: 6
Joined: Mon May 03, 2010 5:57 pm

unrestricted and restricted cointegration and VECM

Postby shevchenko62 » Mon May 03, 2010 6:30 pm

I am trying to do cointegration test on the long run equilibrium relationship between stock price and macroeconomic variables. I have tested those series with ADF and all of them are I(1). But somehow, I am confused with the difference between unrestricted cointegration, restricted cointegration and VECM. I am not able to proceed because of this confusion. Can someone pls explain this? And also why are they needed?

Thanks a lot.

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 2 guests