Exogenous variables in VECM
5 views (last 30 days)
Show older comments
I am trying to estimate a VECM model using jcitest with an exogenous variable, but I see no way to do this. Can this be done? Also, how can I determine the accuracy of the estimated parameters (i.e. their std. errors and p-values)?
I figured it might be possible to work around the exogenous part estimating a VARX and then using var2vec to retrieve the relevant VEC model, but once again I wouldn't know how to analyse the parameter significance after this conversion.
0 Comments
Answers (1)
Fran Pons
on 20 Nov 2015
Hi Folmer,
My nderstanding is that there is not such a test in MATLAB. Actually I haven't been able to test even ARCH effects for residuals of a VECM model. Matlab is seriously limited in comparison to Eviews for example on these kind of things.
See Also
Categories
Find more on Vector Error-Correction Models in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!