Thanks very much for the suggestions and the fix. Things are clear to me now.
Cheers Talha On Thu, Mar 8, 2012 at 11:07 AM, Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.es> wrote: > El 07/03/12 15:56, Talha Yalta escribió: >> Hi all, >> >> I have a few questions/issues to report with a cointegration example >> that I am trying to simulate using: >> >> nulldata 500 >> setobs 1 1950 --time-series >> series u1 = randgen(N,0,1) >> series u2 = randgen(N,0,1) >> series Z1 = 0 >> series Z1 = Z1(-1) + u1 >> series Z2 = 75 + 0.75*Z1 + u2 >> >> 1)- When I run a VECM model afterwards, I always have one of the >> inverse roots on the edge. Am I doing something wrong? > > If you mean "on the real edge", this is a consequence of the real root > z=1 [from polynomial (1_L)] which is present in both series. > > > > -- > Ignacio Diaz-Emparanza > DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) > UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO > T.: +34 946013732 | F.: +34 946013754 > www.ea3.ehu.es > > > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users -- “An expert is a person who has made all the mistakes that can be made in a very narrow field.” - Niels Bohr (1885-1962) --
