Re: [Gretl-users] Creating cointegrated series

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