Hypothesis Testing in VEC Model

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DirkSa
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Joined: Tue Jul 27, 2010 6:00 am

Hypothesis Testing in VEC Model

Postby DirkSa » Tue Jul 27, 2010 6:36 am

LS,

I have the following Vector Error Correction Model:

Δ(y_t) = α β' y_(t-1) + G1 Δ(y_(t-1)) + G2 Δ(y_(t-2)) + e_t,

where Δ denotes the first difference operator, y_t is a 2x1 vector of variables at time t, α is a 2x1 vector of adjustment coefficients, β is a 2x1 vector of cointegration equation coefficients, G1 and G2 are 2x2 matrices of coefficients and e_t is a vector of innovations.

How can I test in EViews that α(2) = G1(2,1) = G2(2,1) = 0?

Thanks in advance,
Dirk Sackman

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