# Questions tagged [vector-error-correction-model]

VECM stands for Vector Error Correction Model. It is used with cointegrated time series and panel data in finance and macroeconometrics. VECM offers a convenient representation of a cointegrated VAR model as it distinguishes between short-run and long-run (equilibrium) effects.

272 questions
Filter by
Sorted by
Tagged with
7 views

### Reversing a First Difference Error Correction Model: Converting the Forecasted FD results back

I'm doing a study on how market rates affect interest rates. The model I've chosen is an Error Correction Model. I address the unit root issue in my dataset by taking the first difference. I then ran ...
24 views

### Heteroscedasticity in VECM residuals: consequences and solution

Does anyone know the consequences of heteroscedasticity in VECM residuals? For impulse reponse, standard errors and so on?
1 vote
41 views

### Impulse response for a VECM

I have used MatLAB for calculating generalized impulse response functions (see https://se.mathworks.com/help/econ/vecm.irf.html#mw_ef2bb791-5500-4738-b2de-49df99f3a990_sep_shared-mw_85c3ba24-ff12-4a90-...
45 views

### Heteroscedastic residuals of a VECM estimated by MLE

I have estimated an VEC model in Matlab, and it turns out the residuals are heteroscedastic. Now, does anyone know how to apply HAC errors to a VEC Model in Matlab? Alternatively, given the model is ...
1 vote
18 views

### What test for a structural break in a VEC model?

Does anyone know which test to use for structural break in VEC model? I thought to use a CUSUM AND CUSUM-sq, but it seems like CUSUM-sq always return results outside the critical bounds. Any help ...
1 vote
42 views

### Estimating VECM with Exogenous variable

I'm currently working on a project that requires estimating a Vector Error Correction Model (VECM), potentially extending to a structural VECM, that incorporates at least one exogenous variable. The ...
• 11
15 views

• 93
653 views

### Can second order differences stationary series be estimated via VECM model without considering support from economic theory?

Because some series contain negative raw data, and data is normalized by MinMax. Can VECM be used after second-order difference where the series are stationary? If can, whether the number of lagged ...
• 75