Exogenous variables in VECM
조회 수: 5 (최근 30일)
이전 댓글 표시
I am trying to estimate a VECM model using jcitest with an exogenous variable, but I see no way to do this. Can this be done? Also, how can I determine the accuracy of the estimated parameters (i.e. their std. errors and p-values)?
I figured it might be possible to work around the exogenous part estimating a VARX and then using var2vec to retrieve the relevant VEC model, but once again I wouldn't know how to analyse the parameter significance after this conversion.
댓글 수: 0
답변 (1개)
Fran Pons
2015년 11월 20일
Hi Folmer,
My nderstanding is that there is not such a test in MATLAB. Actually I haven't been able to test even ARCH effects for residuals of a VECM model. Matlab is seriously limited in comparison to Eviews for example on these kind of things.
참고 항목
카테고리
Help Center 및 File Exchange에서 Vector Error-Correction Models에 대해 자세히 알아보기
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!