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.
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:
TEST Statement:
In the latter link, please see the paragraph beginning, "For the vector error correction models, you can test the hypothesis..."
I hope this helps!
DW
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:
TEST Statement:
In the latter link, please see the paragraph beginning, "For the vector error correction models, you can test the hypothesis..."
I hope this helps!
DW
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