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Time-varying VECM
Posted: Sun May 01, 2011 4:28 pm
by lnw
Hello all:
Is there any proc available that allows me to estimate the time-varying VECM?
Thank you.
Re: Time-varying VECM
Posted: Tue May 03, 2011 8:00 am
by TomDoan
lnw wrote:Hello all:
Is there any proc available that allows me to estimate the time-varying VECM?
Thank you.
Which time-varying VECM?
Re: Time-varying VECM
Posted: Tue May 03, 2011 7:12 pm
by lnw
Hello Tom:
I read a paper by Gary Koop et al. (2008) ("Bayesian Inference in the Time Varying Cointegration Model") in which they show the method for estimating a VECM. I'm wondering if there is a prog. available or could you show me a bit how to do it.
Thank you very much.