Dear Grelt-users,
I'll appreciate if someone could give me a hint on the
choice of cointegration and adjustment vectors in a multivariate VAR. To be more specific,
results of my Johansen cointegration test reflects a cointegration rank of above
2(r>2). This implies, running a corresponding VECM model with thesame deterministic
components as in the Johansen test should provide more than two cointegration vectors and
Error correction terms(adjustment vectors). I don't know what criterion to use in
selecting the right cointegration equation and speed of adjustment; as hitherto, I've
been used to applying only bivariate VARs.
Thank you
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