Questions tagged [cointegration]

Two or more non-stationary, integrated variables are cointegrated if there exists a linear combination of those variables which is stationary.

402 questions
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Interpretation of Betas and alphas in a VECM

Imagine I set up a VECM where there is only one cointegrated vector among three variables A, B and C and the vector of betas B1, B2 and B3 is (1,-0.25, -0.4) and the alphas a1, a2 and a3 are -0.5, -0....
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Inference in cointegated VAR model

I am estimating the following VAR model: \begin{equation*} x_t = k + A_1 x_{t-1} + A_2 x_{t-2} + \dots + A_p x_{t-p} + \epsilon_t, \end{equation*} where $x_t$ is a vector of variables and notation is ...
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Cointegration (different coefficients using VECM /ca.jo and p-values)

I am trying to get the p-values of my cointegrating vector. I read many questions about it and most of the answers relies on ca.jo funtion from ...
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Can I use VAR model on I(1) series with cointegration? [duplicate]

I have four I(1) series, and the Johansen test(ca.jo()) shows there is one cointegration. My purpose is to forecast, so I want to compare the forecasting results of VAR and VECM model. Is this ...
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Error Correction Model (ECM) procedure

I am getting familiar with ECM so I would like to ask for help in order to understand it. My goal is: performing a ECM in a multivariate context. I was reading ECM is part of a Cointegration analisis....
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Why do we need a VECM specification if the I(1) processes are cointegrated?

I happened to question the rationale of employing VECM, since some empirical studies like Basu (2017) employed a VAR model to obtain impulse-response analysis. As far as I know, one should consider ...