How to simulate VECM
Posted: Fri Jan 03, 2014 9:36 am
Hello,
I was wondering if anyone knew the code to simulate a simple VECM or a
bivariate Engle Granger with chosen speed of adjustment parameter and
cointegrating vector parameter.
Thanks, F
I was wondering if anyone knew the code to simulate a simple VECM or a
bivariate Engle Granger with chosen speed of adjustment parameter and
cointegrating vector parameter.
Thanks, F