ECM model for variables with different leves of integration
Posted: Wed Apr 06, 2011 5:00 am
Dear all
I want to estimate a model with quarterly time series data. I ran hegy test for testing unit root and the result show that variables are not integrated in same orders. Johansen cointegration test shows that there is one cointegration vector. The question is that how can I run a VECM in eviews or any other softwares by variables with different level of integration?
I want to estimate a model with quarterly time series data. I ran hegy test for testing unit root and the result show that variables are not integrated in same orders. Johansen cointegration test shows that there is one cointegration vector. The question is that how can I run a VECM in eviews or any other softwares by variables with different level of integration?