shortandlongvecm.rpf is an example of a VECM with short-and-long run restrictions for structural model. Adapted from Lütkepohl(2006), Example 9.4 from pp 377-383. It uses the @JOHMLE procedure for estimating the cointegrating vectors, the ECT instruction for setting up a VECM, @ShortAndLong procedure for doing the structural model for the covariance matrix and @VARIRF procedure for graphing impulse responses.
Detailed description
ShortAndLongVECM—VECM with Short-and-Long Run SVAR
ShortAndLongVECM—VECM with Short-and-Long Run SVAR
Last bumped by TomDoan on Wed Dec 11, 2024 10:41 am.