Hi Tom
any quick trick to estimate a VAR with cointegration but with 2 cointegrating vectors (not using cats, i mean, but through the ect statement into the system definition)?
Thanks a lot
Fabio
more than one cointegrating vector in var
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more than one cointegrating vector in var
by fabio fornari » Thu Apr 30, 2009 5:16 am
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Re: more than one cointegrating vector in var
by TomDoan » Thu Apr 30, 2009 8:57 am
Check page 129 in the reference manual.
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Re: more than one cointegrating vector in var
by fabio fornari » Thu Apr 30, 2009 10:52 am
aarghh, so easy ... the user's guide gives example with one vector only (as also does johmle.src) and i though you could only do it with one ...
good to see it's so easy
thanks Tom
good to see it's so easy
thanks Tom
- fabio fornari
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- Joined: Fri Mar 20, 2009 7:11 am
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