topic Different Restrictions in Different Cointegrating Vector. in SAS Forecasting and Econometrics

Different Restrictions in Different Cointegrating Vector.

Golf — Mon, 23 Mar 2020 08:58:13 GMT

Hello,

I wonder if SAS can test a null hypothesis with two restrictions for two cointegrating vector. (One restriction is for the first cointegrating vector and another restriction is for the second cointegrating vector).

Thank You.

Re: Different Restrictions in Different Cointegrating Vector.

dw_sas — Tue, 24 Mar 2020 19:21:01 GMT

Hi @Golf ,

Please see the following sections of the PROC VARMAX documentation, which describe the tests supported when fitting a VECM:

General Tests and Restrictions on Parameters:

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_varmax_details49.htm&docsetVersion=15.1&locale=en#etsug_varmax017856

TEST Statement:

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_varmax_syntax46.htm&docsetVersion=15.1&locale=en

In the latter link, please see the paragraph beginning, "For the vector error correction models, you can test the hypothesis..."

I hope this helps!

Re: Different Restrictions in Different Cointegrating Vector.

Golf — Wed, 25 Mar 2020 02:39:59 GMT

Thank you for your help.