Exogenous variables in VECM

6 次查看（过去 30 天）
Folmer
Folmer 2015-10-23
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.

请先登录，再回答此问题。

回答（1 个）

Fran Pons
Fran Pons 2015-11-20
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.
  2 个评论
Folmer
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
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.

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 MATLAB Compiler SDK 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by