Exogenous variables in VECM

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Folmer 2015-10-23

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评论： Folmer 2015-11-22

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.

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Answer 1

Fran Pons 2015-11-20

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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.

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Folmer 2015-11-22

Hi Fran,

Thanks. I have seen switched to Eviews and you are right, they do this much better. It's a bit strange to me why MATLAB can't do this, as they are very basic models.

Folmer 2015-11-22

Hi Fran,

Thanks. I have seen switched to Eviews and you are right, they do this much better. It's a bit strange to me why MATLAB can't do this, as they are very basic models.

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