Different Restrictions in Different Cointegrating Vector.

[Golf]

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.

[dw_sas · Accepted solution]

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&docsetVersi... 

TEST Statement:

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_varmax_syntax46.htm&docsetVersio... 

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

[Golf]

Thank you for your help.