Single-Equation ECM
Posted: Fri Nov 08, 2013 4:13 am
Dear all,
I am trying to estimate a single equation error correction model with 4 exogenous variables but I am unable to correctly formulate the estimation command:
∆I = a + β_0*∆X_t - β_1*(I_t-1 - β_2X_t-1 + ε_t
1) Should I start with a VECM and then reduce it ? or
2) Should I estimate a single equation directly and if so how?
Thank you for your support...
I am trying to estimate a single equation error correction model with 4 exogenous variables but I am unable to correctly formulate the estimation command:
∆I = a + β_0*∆X_t - β_1*(I_t-1 - β_2X_t-1 + ε_t
1) Should I start with a VECM and then reduce it ? or
2) Should I estimate a single equation directly and if so how?
Thank you for your support...