Estimation of VEC's cointegrated vector
Posted: Fri Oct 04, 2013 2:42 am
Dear All,
I wonder why the coefficients of cointegrated vector differ estimating them with VEC object and estimating them with OLS? Example below.
I was thinking they should be equal. Anyone could instruct me please, what is estimation mechanics behind VEC coint vector ...
Andrei
I wonder why the coefficients of cointegrated vector differ estimating them with VEC object and estimating them with OLS? Example below.
I was thinking they should be equal. Anyone could instruct me please, what is estimation mechanics behind VEC coint vector ...
Code: Select all
close wf
create wf u 1 50
series y = rnd
series x = rnd
smpl 11 50
var eq_vec.ec 1 2 y x ' Coint. equation estimated using VEC
equation eq_ols.ls y x c 'Coint. equation estimated using OLS