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VEC to VAR
Posted: Sun Oct 08, 2017 9:08 pm
by lizhengeconomic
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
Posted: Mon Oct 09, 2017 10:19 am
by TomDoan
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.
Re: VEC to VAR
Posted: Mon Oct 09, 2017 10:23 pm
by lizhengeconomic
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.
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.