Hypothesis Testing in VEC Model
Posted: 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
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