Hi all,
I'm trying to use gretl's vecm command. The following statement :
vecm 2 1 x1 x2
gives me the following output :
Cointegrating vector :
x1(-1) b1
x2(-1) b2
Equation 1: d_x1
const theta
d_x1_1 g1
d_x2_1 g2
EC1 alpha
Given the above output, I'd expect the predicted value d_x1_hat for d_x1 to be :
d_x1_hat = theta + g1 d_x1_1 + g2 d_x2_1 + alpha ( b1 x1(-1) + b2 x2(-2) )
However, applying the above formula yields crazy results. Surely, I
must be overlooking something. Any hint ?
Thanks and season greetings !
Aurelien