Monte Carlo forecast paths using a VECM model directly

[holyw160]

Hi, does any one have an example of simulated forecast paths (using monte carlo methods) of a variable from a vector error correction model?

Thank you.

[TomDoan]

There's nothing special to that. Define and estimate a VECM (as in the ECT.RPF example), and do a SIMULATE instruction using the MODEL that you created and estimated. SIMULATE knows how to handle the structure of the VECM (that is, it will simulate the levels, not the differences).