Error correction Mechanism help
Posted: Sun Apr 19, 2009 12:29 am
Hi,
I ran the engle granger test on the following equation
TB=b0+b1ER+b2Y+b3Y*
I found the error term to be stationary indicating there is cointegration with the variables. Now I need to run the ECM for the Engle-Granger but I don't know how to do so in EViews.
Can someone please write down the steps of running an ECM for this model. I'm using EViews 6. I know that for Johansen the VECM is different and this can be obtained from view----->Cintegration in EVIews. but how to run an ECM for EngleGranger please help.
thank you
I ran the engle granger test on the following equation
TB=b0+b1ER+b2Y+b3Y*
I found the error term to be stationary indicating there is cointegration with the variables. Now I need to run the ECM for the Engle-Granger but I don't know how to do so in EViews.
Can someone please write down the steps of running an ECM for this model. I'm using EViews 6. I know that for Johansen the VECM is different and this can be obtained from view----->Cintegration in EVIews. but how to run an ECM for EngleGranger please help.
thank you