I have three I(3) variables and three I(0) variables.

I found that I(3) variables are co-integrated and my dependent variable is one of I(3)s.

When I tried to build a VECM model in Eviews, Eviews will automatically difference all the variables including the stationary ones.

So I am wondering if there is a way I can run a VECM model with both stationary and non-stationary variables on Eviews?


closed as off-topic by gung, Michael Chernick, kjetil b halvorsen, Peter Flom May 18 '17 at 11:31

This question appears to be off-topic. The users who voted to close gave this specific reason:

  • "This question appears to be off-topic because EITHER it is not about statistics, machine learning, data analysis, data mining, or data visualization, OR it focuses on programming, debugging, or performing routine operations within a statistical computing platform. If the latter, you could try the support links we maintain." – gung, Michael Chernick, kjetil b halvorsen, Peter Flom
If this question can be reworded to fit the rules in the help center, please edit the question.

  • $\begingroup$ If your question is only about how to use EViews, it is off topic here. If you have a question about VECM models with variables that have different orders, please edit to clarify. $\endgroup$ – gung May 17 '17 at 16:10

If the only problem is that the stationary variables will get differenced and you want to avoid that, then there is a simple hack: supply cumulative sums of those variables (i.e. "integrate" them). When the cumulative sums get differenced, they yield the original variables as differencing undoes cumulative summation.

In R you can do cumulative summation via the function cumsum. I am sure it is also possible to do cumulative summation in EViews, you just need to find the right function, or you can write a loop that does it.

  • $\begingroup$ your answer perfectly helps my model. Really appreciate it! $\endgroup$ – Alex May 17 '17 at 18:20
  • $\begingroup$ @Alex, if your problem is solved, then let me inform you that you may accept the answer by clicking on the tick mark to the left. $\endgroup$ – Richard Hardy May 17 '17 at 18:27
  • $\begingroup$ Hi sir, one more question, on eviews, even if I used the comsum value of the I(0) variable, error correction term will consist the comsum variables. Then how can I explain the meaning of the comsum variable? $\endgroup$ – Alex May 18 '17 at 20:14
  • $\begingroup$ @Alex, that is a problem then. You do not want the error correction terms involving the cumsum variables. Can you restrict the coefficients in front of those irrelevant error correction terms to be zero? If not, you will need to find another workaround. Is there really no option of including exogenous variables in the VECM in EViews? $\endgroup$ – Richard Hardy May 19 '17 at 5:41
  • $\begingroup$ I guess maybe there is not. Variables are supposed to be in the same order of integration. $\endgroup$ – Alex May 19 '17 at 18:09

Not the answer you're looking for? Browse other questions tagged or ask your own question.