Impulse Responses and Variance Decompositions on a VECM
Posted: Thu Mar 21, 2013 7:08 am
I am trying to run both impulse response functions and also variance decompositions on a Vector Error correction model. Any attempt i make seems to use the original input series for my model - rather than the the differenced series and error correction term calculated in the model.
Is there a method by which I can calculate the impulse response functions and variance decompositions using the VECM data (ie using the differenced series and ECT).
This forms an integral part of my dissertation, I am now beginning to run short on time so any help is greatly appreciated.
The process i am trying to run is very similar to the one explained in the following paper:
http://wwwkal.ums.edu.my/lbibf/Articles/v5a2.pdf
Many thanks, James
I am using EViews 7
Is there a method by which I can calculate the impulse response functions and variance decompositions using the VECM data (ie using the differenced series and ECT).
This forms an integral part of my dissertation, I am now beginning to run short on time so any help is greatly appreciated.
The process i am trying to run is very similar to the one explained in the following paper:
http://wwwkal.ums.edu.my/lbibf/Articles/v5a2.pdf
Many thanks, James
I am using EViews 7