About Calculation of Long-Run matrix of Structural VECM
Posted: Thu Apr 09, 2009 11:45 pm
I have a question about the calculation of long-run matrix of Structural VECM. In RATS, it is easy to get the long-run matrix by using %VARLAGSUMS or %MODELLAGSUMS during the estimation of Structural VAR. However, if structural VECM is being estimated, only %VARLAGSUMS can be used.
I have two questions about it.
First, how can I calculate the long-run matrix of Structural VECM?
Second, since %modellagsums cannot be used to get the Long-Run matrix of Structural VECM, is %VARLAGSUMS accurate for the calculation of Long-Run Matrix of it?
I would be appreciated if anyone can reply me as soon as possible since I need to replicate estimation results based on Structural VECM.
I have two questions about it.
First, how can I calculate the long-run matrix of Structural VECM?
Second, since %modellagsums cannot be used to get the Long-Run matrix of Structural VECM, is %VARLAGSUMS accurate for the calculation of Long-Run Matrix of it?
I would be appreciated if anyone can reply me as soon as possible since I need to replicate estimation results based on Structural VECM.