Robustness of VECM
Posted: Fri Sep 07, 2012 9:45 am
I would like you to ask about the implications of a bad VECM model.
I constructed a pairvise VECM model. Checking on robustness I found the VECM model very weak with violations against normality, heteroscedasdecity and autocorrelation..
Now I did PROC => MAKE SYSTEM => ORDER BY VARIABLE
I copied the variables to run an OLS to check short run and long run causalities.
This OLS model is robust in all respects.
My question:
Can I ignore the bad VECM model if the final OLS model is robust, or what is the effect of ignoring?
AS I have to finish my research soon, I would appreciate your quick help here. Thanks!
I constructed a pairvise VECM model. Checking on robustness I found the VECM model very weak with violations against normality, heteroscedasdecity and autocorrelation..
Now I did PROC => MAKE SYSTEM => ORDER BY VARIABLE
I copied the variables to run an OLS to check short run and long run causalities.
This OLS model is robust in all respects.
My question:
Can I ignore the bad VECM model if the final OLS model is robust, or what is the effect of ignoring?
AS I have to finish my research soon, I would appreciate your quick help here. Thanks!