Is it good to use VECM when there is 1 nonstationary variable at level, and others are stationer at level?

If different variables are stationary at different levels I(0), I(1), and I(2), and are cointegrated, can I run my data by using VECM ?

My data are consisted of 3 exogenous variables (TFIN, SR, and INF), and 1 endogenous variable (GDP). TFIN and INF are stationary at I(0), GDP is stationary at I(1), and SR is stationary at I(2). I...

22 November 2020 8,435 9 View

How do I correct the non-stability of my var model?

Hi, I carried out an analysis using the VAR (VECM) framework. My variables are integrated of order 1 and are cointegrated (based on the result of the trace statistic and maximum eigenvalue),...

13 October 2020 9,671 3 View

Spatial panel vector auto-regressive (VAR) model OR Spatial panel vector error correction model codes (VECM) in stata?

I am looking for codes/Package available for Spatial panel VAR model or Spatial panel VECM model in stata.

17 August 2020 1,664 9 View

Which model do I use for long-term forecasts of multiple cointegrated variables?

I am regression yearly electricity consumption on GDP and population. I found that both independent variables are cointegrated with electricity consumption (with Granger causality running from...

22 March 2020 3,113 2 View

Reasons for a singular Matrix when estimating an SVAR?

Hi there, I've tried estimating a Structural VAR, only to get an error that the matrix I'm using is singular (hence it won't estimate). I'm assuming that it doesn't want to estimate because the...

01 December 2019 822 1 View

What are the interpretation of VECM results?

08 September 2019 2,568 1 View

Could any one please help me to calculate VECM ?

My data are I(2). So, after first difference they become I(1). My optimal lag length is 5. I run Johansen co-integration test, and result shows they are co-integrated. After that, I run VECM. As...

06 July 2019 9,753 5 View

How to run VECM Granger causaliyt test?

I want to apply long-run and short-run Granger causality test for time series data. The one I find in Eviews is very simple and did not show the direction of causality as well as F-statistics and...

05 June 2019 2,597 9 View

How to run VECM Granger causaliyt test?

I want to apply long-run and short-run Granger causality test for time series data. The one I find in Eviews is very simple and did not show the direction of causality as well as F-statistics and...

04 June 2019 1,982 10 View

How do we select the maximum lag length to be included in underlying VAR model while testing for Johansen's cointegration?

The optimum lag length selected using the command "varsoc" in STATA and the maximum lag length to be included in underlying VAR model while estimating the cointegrating rank of VECM, are they...

07 May 2019 1,198 4 View