Re: [Gretl-users] Restrictions in VECM model...
Mariusz Doszyń schrieb:
Thanks Sven and Jack...
You're right that it could be just VAR model. I was thinking mostly about
ways of making restrictions on matrix 'Pi', sorry:). According to my model
I'm trying to do something like this:
ct=s+a1*yt+a2*rt+ut, yt=a+bY[t-1]+u1t, rt=c+dr[t-1]+u2t where yt (GNP) and
rt (interest rate) could be I(1). I'm trying to put this into VAR model with
restrictions...
With regard,
Mariusz
Ok, so what you want to do is: (a) check whether or not the variables
are actually I(1), (b) in case they are, estimate the cointegrating
relationship(s) between them. IMHO there is no need to prespecify any
particular form of dynamics or lag structure like you seem to be doing
(eg., AR(1) models for r_t and y_t).
For (a) you could either apply conventional unit root tests to the
variables, or you could do the Johansen test straight away and infer the
integration status of the variables from the estimated/tested
cointegration rank. (E.g., like jack said, if you find full rank 3 then
all variables would be I(0).)
What you probably have in mind is a cointegration rank of 1 with the
cointegration relationship involving all three variables. That would
give you the long-run relation c_t = a1 y_t + a_2 r_t, and all variables
would be I(1). In terms of your previously stated Pi matrix you would of
course also have a rank of only 1, since the diagonal elements b-1 and
d-1 would actually be zero.
good luck,
sven