varying weak exogeneity test results in cointegration
Posted: Thu Aug 30, 2012 11:02 am
Hi,
I am working on a cointegrating model in EViews. The maximum eigen-value test estimates it to have 2 cointegrating relations.
When I estimate the model with 2 cointegrating equations imposing the basic (normalizing) restrictions of B(1,1)=1 and B(2,3)=1, I get the corresponding estimation (model M1).
However, when I impose further weak exogeneity restrictions on the A matrix (say A(1,5)=0, A(2,5)=0), and then re-estimate the restricted model (say M2), the results vary every time I estimate M2 (repetitively, for the same restrictions).
I would like to know whether this is due to the estimation procedure in-built in EViews 7 or whether there is a basic flaw in my conducting the estimation.
Thanking you in anticipation,
Aditi
P.S. the results do not vary when I estimate M1 repetitively.
I am working on a cointegrating model in EViews. The maximum eigen-value test estimates it to have 2 cointegrating relations.
When I estimate the model with 2 cointegrating equations imposing the basic (normalizing) restrictions of B(1,1)=1 and B(2,3)=1, I get the corresponding estimation (model M1).
However, when I impose further weak exogeneity restrictions on the A matrix (say A(1,5)=0, A(2,5)=0), and then re-estimate the restricted model (say M2), the results vary every time I estimate M2 (repetitively, for the same restrictions).
I would like to know whether this is due to the estimation procedure in-built in EViews 7 or whether there is a basic flaw in my conducting the estimation.
Thanking you in anticipation,
Aditi
P.S. the results do not vary when I estimate M1 repetitively.