impose restriction in vecm
Posted: Thu Dec 16, 2010 4:39 am
My output equation is GDP = CPI + M1 + TBILL
If i want to test null hypothesis of (coefficient of M1) =0 by using vec restriction
Following is given by eview when i click on VEC Retrictionn.
Restrictions may be placed on the coefficients B(r,k) of the r-th
cointegrating relation:
B(r,1)*GDP + B(r,2)*CPI + B(r,3)*M1 + B(r,4)*TBILL
So can i just type B(1,3)=0 ??
If i type
B(1,1)=1, B(1,3)=-1
what null hypothesis i am testing?? thank you!
If i want to test null hypothesis of (coefficient of M1) =0 by using vec restriction
Following is given by eview when i click on VEC Retrictionn.
Restrictions may be placed on the coefficients B(r,k) of the r-th
cointegrating relation:
B(r,1)*GDP + B(r,2)*CPI + B(r,3)*M1 + B(r,4)*TBILL
So can i just type B(1,3)=0 ??
If i type
B(1,1)=1, B(1,3)=-1
what null hypothesis i am testing?? thank you!