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