variables in VECM

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

vee
Posts: 2
Joined: Wed Sep 05, 2012 6:27 am

variables in VECM

Postby vee » Wed Sep 05, 2012 6:30 am

I would like to estimate a VECM with 6 variables - 2 of which are stationary, and the remaining 4 are integrated of order one I(1). I would like to keep the stationary variables unchanged when they enter the model, but eviews seems to automatically difference all endogenous variables. Is there a way around this?

sly86
Posts: 2
Joined: Wed Sep 12, 2012 9:57 am

Re: variables in VECM

Postby sly86 » Wed Sep 12, 2012 10:08 am

Hi, my problem is similar as @Vee except the fact i have 4 stationary variables and 5 integrated of order 1. While doing the estimation on Eviews, here is how i proceed (and i want to know if its correct): In the endogenous box i inserted all the variables that are integrated of order 1 and in the exogenous box i inserted all the stationary variables.
I want to know if this procedure is alright. Thank you


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests