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Subject: Re: Estimation of a vector error correction model
Date: Wed, 4 Nov 2009 05:30:21 +0000 (UTC)
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"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.