VECM-restriction-inference

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dzliok
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Joined: Thu Oct 18, 2012 5:37 pm

VECM-restriction-inference

Postby dzliok » Fri Oct 19, 2012 7:13 pm

hello,

can someone tell me how can I put a restriction on the intercept (C) that is included in the cointegrating vector (cointequ1) in order to get the lr-statistic and p-value.
I have a VECM with two endogenous variables one cointegrating vector (r=1), and the deterministic trend chosen is a restricted constant (case 2). it seems that I am only able to test for B(1,1) and B(1,2) and not for the intercept (C).

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