VEC to VAR
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lizhengeconomic
- Posts: 5
- Joined: Mon Dec 16, 2013 5:32 am
VEC to VAR
Dear all. I have estimated vecm by using ect, I want to get the VAR coefficient. Is there any code to do it ? thanks very much!
Re: VEC to VAR
disp %modelsubstect(ectmodel)
will show you the substituted out model. I'm not sure what you want to do with that---those are reduced form coefficients, so they won't be all that interesting compared with the structural coefficients.
will show you the substituted out model. I'm not sure what you want to do with that---those are reduced form coefficients, so they won't be all that interesting compared with the structural coefficients.
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lizhengeconomic
- Posts: 5
- Joined: Mon Dec 16, 2013 5:32 am
Re: VEC to VAR
TomDoan, thanks very much！I want to do a global VAR, first estimate a VECMX model ,then convert VECMX to VARX, finally combine many VARX into a global VAR model.TomDoan wrote:disp %modelsubstect(ectmodel)
will show you the substituted out model. I'm not sure what you want to do with that---those are reduced form coefficients, so they won't be all that interesting compared with the structural coefficients.