Exogenous variables and cointegration
Posted: Wed Nov 23, 2011 5:30 am
the following question was posted two years ago on this forum:
"My question has to do with the Johansen cointegration technique and with the associated error-correction model.
The question is how can I define a list of exogenous I(1) variables whose effects are assumed to be confined to the cointegrating relationships (restricted actually to the cointegrating space)?
The current selection (E-views 6.0) in the vector error correction model specification window defines only exogenous variables that are not included within the cointegrating relationships " by hetero on Mon Nov 02, 2009 5:11 am
could anyone please respond to this post?
"My question has to do with the Johansen cointegration technique and with the associated error-correction model.
The question is how can I define a list of exogenous I(1) variables whose effects are assumed to be confined to the cointegrating relationships (restricted actually to the cointegrating space)?
The current selection (E-views 6.0) in the vector error correction model specification window defines only exogenous variables that are not included within the cointegrating relationships " by hetero on Mon Nov 02, 2009 5:11 am
could anyone please respond to this post?