Residual Tests - Restricted or Unrestricted VECM?
Posted: Wed Jan 25, 2012 6:57 am
Hello,
I am estimating a VEC model. I get some alphas that are non-significant, so I restrcited the model. The problem is all residual tests were OK on the unrestricted VECM, but I have some autocorrelation an normality problems if I test the residuals of the restricted VECM.
Should I be testing the residuals of the restricted model, or the residuals of the non-restricted one?
Thank you!
I am estimating a VEC model. I get some alphas that are non-significant, so I restrcited the model. The problem is all residual tests were OK on the unrestricted VECM, but I have some autocorrelation an normality problems if I test the residuals of the restricted VECM.
Should I be testing the residuals of the restricted model, or the residuals of the non-restricted one?
Thank you!