variables in VECM
Posted: Wed Sep 05, 2012 6:30 am
by vee
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?
Re: variables in VECM
Posted: Wed Sep 12, 2012 10:08 am
by sly86
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