Restrictions on A-Matrix coefficients in a VECM
Posted: Fri Oct 22, 2010 2:04 am
Goodmorning,
* does anyone know how to impose restrictions on the coefficients of the VAR part of a VECM (A Matrix) in E-views 7?
For instance, I am studying the interest-rate pass-trhough between the eonia and the overnight deposit rate :
d(ovdep(t)) = a1.(ovdep(t-1) - B.eonia(t-1) - K) + a2.d(eonia(t)) + a3.d(eonia(t-1)) + a4.d(ovdep(t-1) + Et
I would like to withraw the lag for ovdep --> to set a4 equal to 0. In Eviews this would mean imposing "A(1,2) = 0" but this is not allowed.
Also, how is it possible to add no lags, but to have the contemporaneous relationship i.e to estimate the model :
d(ovdep(t)) = a1(ovdep(t-1) - Beonia(t-1) - K) + a2d(eonia(t)) + Et E-views does not allow for this.
* Is there a way to put these restriction automatically or is it necessary to write a system?
Thank you very much in advance for your time and consideration.
* does anyone know how to impose restrictions on the coefficients of the VAR part of a VECM (A Matrix) in E-views 7?
For instance, I am studying the interest-rate pass-trhough between the eonia and the overnight deposit rate :
d(ovdep(t)) = a1.(ovdep(t-1) - B.eonia(t-1) - K) + a2.d(eonia(t)) + a3.d(eonia(t-1)) + a4.d(ovdep(t-1) + Et
I would like to withraw the lag for ovdep --> to set a4 equal to 0. In Eviews this would mean imposing "A(1,2) = 0" but this is not allowed.
Also, how is it possible to add no lags, but to have the contemporaneous relationship i.e to estimate the model :
d(ovdep(t)) = a1(ovdep(t-1) - Beonia(t-1) - K) + a2d(eonia(t)) + Et E-views does not allow for this.
* Is there a way to put these restriction automatically or is it necessary to write a system?
Thank you very much in advance for your time and consideration.