12-25-2014 06:07 PM
I'm estimating VECMX(5,5) and all variables are nonstationary.
I understand that when I estimate VECM, the (all the endogenous) variables are not differenced.
But for VECMX, should I difference x variables before I estimate? or, like vecm, just use the original version of all the variables?
For cointegration rank, should I check the rank only for engodenous variables or for all the variables?
Also, does anyone know how to restrict AR coefficient of VECM? can I restrict just one coeffficient, say, ar(0,4,2)=0, in restricting H in VECM?
Thanks in advance! Happy new year.