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SVECX

Topics: Times Series, VAR, SVAR, FAVAR
Aug 19, 2015 at 4:47 AM
Dear All

I want to estimate a VECM (vector error correction model) with this package. Unfortunately i didn't find any clear procedure to do so, expect, likely, the 'cointeg' option in estimate function.
the question is, how can i estimate a VECM?

Thanks
Aug 23, 2015 at 8:43 AM
Hello

It is possible to estimate a VECM provided you know the coefficients of co-integrating vectors. IRIS, at the moment, does not estimate these coefficients, they need to be typed as an input into the estimation procedure.

Best,
Jaromir
Aug 23, 2015 at 1:22 PM
thanks a lot.
Oct 11, 2015 at 10:16 AM
Hello everybody
I tried to estimate the SVECMX. I create the error term of the regression as a symbolic function of unknown parameters. Then I want to formulate ML of this error terms and maximize it. But I’m doubting whether I’m in a right way or not. Is there any consideration?

You would find the code on GitHub:
https://github.com/MBRI/Econometrics/blob/master/VECMX/VECMX.m
Oct 12, 2015 at 12:19 AM
I don't really see what the code you link to has to do with IRIS, unless I'm missing something...

If you want to estimate the cointegrating vector then you can do this using either OLS or the Stock-Watson DOLS procedure. Pretty easy to implement. You can then pass the estimated cointegrating vector to VAR.estimate() as an option; see the help for that method.