Dear Grelt-users, I'll appreciate if someone could give me a hint on the choice of cointegration and adjustment vectors in a multivariate VAR. To be more specific, results of my Johansen cointegration test reflects a cointegration rank of above 2(r>2). This implies, running a corresponding VECM model with thesame deterministic components as in the Johansen test should provide more than two cointegration vectors and Error correction terms(adjustment vectors). I don't know what criterion to use in selecting the right cointegration equation and speed of adjustment; as hitherto, I've been used to applying only bivariate VARs. Thank you
_______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users
Dear Grelt-users,
I'll appreciate if someone could give me a hint on the choice of cointegration and adjustment vectors in a multivariate VAR. To be more specific, results of my Johansen cointegration test reflects a cointegration rank of above 2(r>2). This implies, running a corresponding VECM model with thesame deterministic components as in the Johansen test should provide more than two cointegration vectors and Error correction terms(adjustment vectors). I don't know what criterion to use in selecting the right cointegration equation and speed of adjustment; as hitherto, I've been used to applying only bivariate VARs.
Thank you
I'll appreciate if someone could give me a hint on the choice of cointegration and adjustment vectors in a multivariate VAR. To be more specific, results of my Johansen cointegration test reflects a cointegration rank of above 2(r>2). This implies, running a corresponding VECM model with thesame deterministic components as in the Johansen test should provide more than two cointegration vectors and Error correction terms(adjustment vectors). I don't know what criterion to use in selecting the right cointegration equation and speed of adjustment; as hitherto, I've been used to applying only bivariate VARs.
Thank you
_______________________________________________
Gretl-users mailing list
gretl-us...@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
Gretl-users mailing list
gretl-us...@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users