VECM-restriction-inference
Posted: 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).
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).