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Results tagged with vector-error-correction-model
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user 196307
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.
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VECM lag 1 => is 1-1=0 , or VAR (-1) , or VAR at difference. which one?
When I run a regression, all variables are I(1), the optimal lag according to SIC is one, and means I should do VECM (1-1=0) the coefficient of the error correction term (ECT) is negative but not sign …
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VECM lag 1 => is 1-1=0 , or VAR (-1) , or VAR at difference. which one?
it depends on :
first: look at the rank in the johansen co-integration test, if it is full, not full or null.
if the rank is full ---> run VAR.
If the rank not full ---> vecm.
If the rank in null ---> …
- 11