(VECM) Exogenous variables is cointegrating relationship?
Posted: Fri Dec 28, 2012 2:15 am
by derksheng
In E-Views, we can specify exogenous variables that appear in the main VECM equation, but how can we make exogenous variables appear in the cointegrating relationship (that don't get included into the differenced part of the VECM)?
Re: (VECM) Exogenous variables is cointegrating relationship
Posted: Fri Dec 28, 2012 9:23 am
by nannigia
I don't get your question. please explain more.
Re: (VECM) Exogenous variables is cointegrating relationship
Posted: Sat Dec 29, 2012 1:42 am
by derksheng
I want variables to appear in the error correction term but not elsewhere. For example,
