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
Build your skills. Make connections. Enjoy creative freedom. Maybe change the world. Registration is now open through August 30th. Visit the SAS Hackathon homepage.
Register today!Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.
Find more tutorials on the SAS Users YouTube channel.