Doubt about error correction term coefficient analysis
Posted: Thu Aug 16, 2012 4:45 am
Dear Fellows,
I'm with three doubts about error correction term coefficient at VECM.
1) The "cointeq1" is the adjustment coefficient between the long and short term of the dependent variable, is it correct?;
2) And are the coefficients inside the error correction term the long term ones?;
3) Or is the multiplication between the adjustment coefficient of the error correction term and the coefficients inside the error correction term equal to the adjustment coefficients of the variables inside the error correction between the long and short term?.
Best Regards,
José.
I'm with three doubts about error correction term coefficient at VECM.
1) The "cointeq1" is the adjustment coefficient between the long and short term of the dependent variable, is it correct?;
2) And are the coefficients inside the error correction term the long term ones?;
3) Or is the multiplication between the adjustment coefficient of the error correction term and the coefficients inside the error correction term equal to the adjustment coefficients of the variables inside the error correction between the long and short term?.
Best Regards,
José.