[R-SIG-Finance] [R-sig-finance] A question on VECM

[RON70]

still no single reply. Should I need to design my query in better way?



RON70 wrote:
> 
> 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? 
> 
> Thanks
> 

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