MATLAB Central Newsreader - Estimation of a vector error correction model

Estimation of a vector error correction model

Chris — Tue, 03 Nov 2009 23:40:20 -0500

Dear Matlab users,

I was wondering if anyone has estimated a Vector Error Correction model (e.g. between two cointegrated variables) based on the code of spatial econometrics of Johansen's cointegration test (http://www.spatial-econometrics.com/coint/johansen.m)

Any suggestions on how to implement/start with will be greatly appreciated,

Thank you

Re: Estimation of a vector error correction model

the cyclist — Wed, 04 Nov 2009 04:54:01 -0500

"Chris" <AzizC0rn@bluestring.com> wrote in message <hcqf13$l7$1@fred.mathworks.com>...
> Dear Matlab users,
>
> I was wondering if anyone has estimated a Vector Error Correction model (e.g. between two cointegrated variables) based on the code of spatial econometrics of Johansen's cointegration test (http://www.spatial-econometrics.com/coint/johansen.m)
>
> Any suggestions on how to implement/start with will be greatly appreciated,
>
> Thank you

It is not clear from your question whether you are struggling with the theory, or the implemenation in MATLAB. If you Google "spatial econometrics", one of the first few links will be a massive PDF guide to the toolbox, which may be helpful. I have you tried to implement and failed, I suggest you post some code and ask specific questions.

the cyclist

Re: Estimation of a vector error correction model

Chris — Wed, 04 Nov 2009 05:30:21 -0500

"the cyclist" <thecyclist@gmail.com> wrote in message <hcr1d9$9ql$1@fred.mathworks.com>...
> "Chris" <AzizC0rn@bluestring.com> wrote in message <hcqf13$l7$1@fred.mathworks.com>...
> > Dear Matlab users,
> >
> > I was wondering if anyone has estimated a Vector Error Correction model (e.g. between two cointegrated variables) based on the code of spatial econometrics of Johansen's cointegration test (http://www.spatial-econometrics.com/coint/johansen.m)
> >
> > Any suggestions on how to implement/start with will be greatly appreciated,
> >
> > Thank you
>
> It is not clear from your question whether you are struggling with the theory, or the implemenation in MATLAB. If you Google "spatial econometrics", one of the first few links will be a massive PDF guide to the toolbox, which may be helpful. I have you tried to implement and failed, I suggest you post some code and ask specific questions.
>
> the cyclist

Thanks cyclist, actually I was looking for something to start with instead of programming from scratch, and after your comment I noticed that spatial econometrics has many procedures on ecm so this should give me a good start.

Re: Estimation of a vector error correction model

Sebastian Arslanogullari — Wed, 04 Nov 2009 09:45:02 -0500

Hi Chris
I've worked quite a lot with the var_bvar library in the spatial econometrics toolbox in the past. My experience is that the functions work quite well and are sufficient if you want to estimate simple VAR/Error correction models.

If you want to estimate slightly more complicated models you will find that you will have to write your own versions of e.g. the ecm function. Some examples include models where you want to estimate the error correction variables yourself instead of using the Johansens ML method and/or if you want to use additional exogenous variables. If this is the case, I suggest that you use the ecm as a starting point and change it according to you needs.

So in summary, I think that starting out with ecm is smarter than writing your own code from scratch.
Regards
Sebastian Arslanogullari
"Chris" <AzizC0rn@bluestring.com> wrote in message <hcqf13$l7$1@fred.mathworks.com>...
> Dear Matlab users,
>
> I was wondering if anyone has estimated a Vector Error Correction model (e.g. between two cointegrated variables) based on the code of spatial econometrics of Johansen's cointegration test (http://www.spatial-econometrics.com/coint/johansen.m)
>
> Any suggestions on how to implement/start with will be greatly appreciated,
>
> Thank you