Degrees of freedom for a liklihood ratio test on VECM coefs

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

dg4729
Posts: 1
Joined: Fri Jan 10, 2014 9:56 pm

Degrees of freedom for a liklihood ratio test on VECM coefs

Postby dg4729 » Fri Jan 10, 2014 10:13 pm

I am imposing restrictions a cointegrating vector in a VECM. My understanding is that the proper critical values are those of a chi-squared distribution with degrees of freedom equal to the number of restrictions placed on the cointegrating vector. I have placed four restrictions on a vector. However, the EViews output displays the following:

Chi-square(9) 8.647569
Probability 0.470422

I am having difficulty reconciling that with a chi-squared table. What is in parentheses? If it's the degrees of freedom, where does that number come from? I only have four restrictions. If it is a critical value then the p-value would be much lower than that. I am just a student, so I am sure I am missing something obvious, but I will be very appreciative of any guidance.

Thanks,
drew

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests