[R-SIG-Finance] [R-sig-finance] A question on VECM
ron_michael70 at yahoo.com
Sat Aug 15 17:58:29 CEST 2009
Hi all, in Lutkepohl, page 250, I found that if there are stationary
variables in integrated system then they must be put in upper r-dimension.
My question is, is that the fact? If I do not do it, is there any problem in
estimation and interpretation? I have done few exercises and found that
parameter estimation is not infected with ordering (except IRF estimation).
Even is page 303 an example is presented wherein inflation rate variable is
taken as 2nd variable, although it looks like a stable process.
Can anyone please clarify that? If really ordering is a problem in presence
of a stationary variable, can anyone provide me an example, with perhaps in
R-code so that I can regenerate?
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