vecm

  1. M

    How to put table data in Vector Error Correction Form using Matrices?

    Hi, Good day everyone. I would like to perform the johansen cointegration test on the two time series below. I know the procedure will probably involve performing regression of a variable onto another one. I already know how to perform OLS using matrix algebra. I want to learn the concept of...
  2. R

    Difference between a VAR and a VECM

    Hello, I am performing cointegration analysis using Eviews and the DOLS estimator in the cointegrating equation. After saving the residuals of this equation (they are stationary then the variables are cointegrated), I estimated the short run equation including the lagged error term, one lag...
  3. L

    Does all variabler in a VAR/VEC need to be normally distributed?

    Well? Does all variables in a VAR/VEC need to be normally distributed, or only the target variable? It is very hard to get all of them to meet criteria of normality without deleting too many outliers.
  4. L

    Can a cointegrated variable be exogenous in first difference in a VEC model?

    If I have a variable C that is cointegrated with both variables A and B separately, can I use it in first-differenced form as an exogenous variable in a VEC model involving A and B?
  5. T

    Time series Analysis : Vector autoregression in R

    I am finding relation between two time series M & M1. M and M1 both found to be stationary at first difference and also cointegrated at first difference. Using VARselect in R,I found out 4 as lag length for M and 6 as lag length for M1. Then I have tested for Granger and I got ...
  6. T

    VECM interpretation - Johansen-Procedure

    X1 , X2 , X3 and X4 are time series which are stationary at level.I want to establish long term relation between them.I am planning to use it as forecasting model for my work.I want to create this model in terms of equation.I have tested all of them for KPSS test and got p=0.01 for all of...
  7. T

    Time series Analysis

    I have 4 time series.One of them is stationary and rest of them are not.I need to find relation between them.I will use AIC to decide lag length.Should I use VAR or VECM to find relation between them? Will VAR or VECM give me relation in terms of equation which can be used for forecasting? Do I...
  8. S

    VAR or VECM with I(1) and I(0) series

    Hello, I am trying to estimate macroeconomic data with VAR. I have a system of 5 equations. 3 of the series are I(1) while 2 are I(0). I have a few questions in estimation: i) can I estimate a VAR with first differences of the three integrated series, and levels of the other two which have no...
  9. F

    VECM Help Required

    Hi im constructing a vecm regression and need help interpreting the results. it would be much appreciated if you could helps me I'm testing determinants of inflation, I've constructed unit root test along with co-integration test and am now struggling to understand my vecm results. my...
  10. R

    VECM help!

    Hey all, I have a problem concerning STATA'S VECM capabilities. I am trying to run a regression using vec and implement an irf from the model. However, after running a vec, irfs do not include confidence intervals. This is not unique to STATA but I can't figure out why the bootstrap method...