[R-SIG-Finance] [R-sig-finance] Creating a VCEM data generating process
ron_michael70 at yahoo.com
Sun Jun 28 18:52:10 CEST 2009
Can anyone here please help me how to create a DGP which corresponds to VECM
(Vector error correction) ? Actually I want to define a arbitrary VECM as a
DGP and then study the properties of it's realizations. However I can not
construct an arbitrary VECM from my own, especially it's coefficients, which
lead to strictly I(1) process of individual variable.
Thanks and regards,
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