Timeline for Constructing a VECM with a mix of I(0) and I(1) variables
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Apr 26, 2013 at 9:19 | vote | accept | fredrikhs | ||
| Apr 24, 2013 at 13:12 | comment | added | Metrics | In case of multivariate, at least two of the variables need to be I(1), not all. Yes you can. | |
| Apr 20, 2013 at 8:20 | comment | added | fredrikhs | Thank you for your answer, but not really the one I was looking for. I use the Johansen Procedure to identify the cointegrating relationship(s) with the eigen or trace statistic. And then a command called cajorls() in R to estimate the VECM by OSL. I know the cointegrating rank from my previous analysis, but cannot conduct the same procedure because it assumes all variables to be I(1). How do I go about finding the cointegrating equation? And isn't the ECT a canonical variable I can construct by myself? | |
| Apr 19, 2013 at 11:31 | history | answered | Metrics | CC BY-SA 3.0 |