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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fabio fornari
- Posts: 8
- Joined: Fri Mar 20, 2009 7:11 am
Re: more than one cointegrating vector in var
Check page 129 in the reference manual.
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fabio fornari
- Posts: 8
- Joined: Fri Mar 20, 2009 7:11 am
Re: more than one cointegrating vector in var
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