Residuals from cointegrating equation

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az20
Posts: 4
Joined: Tue May 10, 2011 5:35 pm

Residuals from cointegrating equation

Postby az20 » Mon Oct 03, 2011 9:25 am

Hi, Could anyone please tell me how to do the following:
1. save the residuals from the cointegrating equation (it is not saved in the residuals automatically), so that I can use that to estimate the ecm using OLS. What I am doing now is estimating a VAR and from the menu options select the cointegration test and then estimate the VECM automatically by selecting that option. However, if I do this I do not know how to do the diagnostics tests such as chow, ramsey, cusum, etc.
2. How to do diagnostics tests, as mentioned in 1.
3. How to deal with heteroscedasity in VECM.
I am really in desperate need of answers to these and hope someone can help.
Thanks

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