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Simple question on the eviews estimation method for VECMs
Posted: Wed May 18, 2011 12:56 am
by carbovins
Hello,
I just want to know what is the estimation method used by eviews to estimate a vecm? Ols? Maximum Likelihood?
I can't find the answer in the users' guide.
Thank you.
Vincent
Re: Simple question on the eviews estimation method for VECM
Posted: Wed May 18, 2011 10:26 am
by EViews Gareth
ML is used to estimate the cointegrating vectors. I believe the method is outlined in the Johansen papers/books in the User Guide references.
Re: Simple question on the eviews estimation method for VECM
Posted: Thu May 19, 2011 1:40 am
by carbovins
ML is used for cointegration equation, but what is the method for the VAR part of the VECM? In the Johansen (1991) paper, ML is used in both cases, but I'm not that it is the case in Eviews. Can you hlep me please?
Re: Simple question on the eviews estimation method for VECM
Posted: Thu May 19, 2011 8:14 am
by EViews Gareth
The other coefficients are estimated by the "two stage estimation" procedure outlined on page 301 of Lutkepohl 2005 - New Introduction to Multiple Time Series Analysis.
Re: Simple question on the eviews estimation method for VECM
Posted: Fri May 20, 2011 6:04 am
by carbovins
two stage ols?