Coefficient tests in a VECM
Posted: Mon Aug 30, 2010 5:44 pm
Hi,
I am having some troubles with estimation using a VECM in Eviews 6.
When I estimate the VECM using 'quick...estimate VAR', Eviews doesn't let me perform coefficient tests on the coefficients of the model. The only way I have been able to do this has been to transform the model into a system (which requires some alterations to the specification for identification purposes), and then use the Wald Coefficient Tests option.
Unfortunately in the current 5-variable model I am using, it is not possible to estimate it using the system specification. Is there any way to perform Wald coefficient tests directly on the VECM that Eviews Estimates? It is definitely possible, I'm just looking for a way to do it in Eviews.
Cheers
I am having some troubles with estimation using a VECM in Eviews 6.
When I estimate the VECM using 'quick...estimate VAR', Eviews doesn't let me perform coefficient tests on the coefficients of the model. The only way I have been able to do this has been to transform the model into a system (which requires some alterations to the specification for identification purposes), and then use the Wald Coefficient Tests option.
Unfortunately in the current 5-variable model I am using, it is not possible to estimate it using the system specification. Is there any way to perform Wald coefficient tests directly on the VECM that Eviews Estimates? It is definitely possible, I'm just looking for a way to do it in Eviews.
Cheers