# Goodness of fit of vector error correction model (VECM)

I am trying to find the relationship between S&P and six macroeconomic variables using vector error correction model (VECM).

What are the criteria for assessing the overall performance of the model?

I got low $R^2$ (see the output below), but this is OK for I(1) time series, I guess.

• You can also use estat ic. Mar 23 '16 at 21:15

If you got low $R^2$ when the response variable is the first difference of an integrated variable (which I understand is the case), then it is as expected; if you had got that when the response variable were the level (rather than the first difference) of an integrated variable, that would have been less satisfactory.