2/7/2019 35 questions in Vector Error Correction | Science topic

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Vector Error Correction - Science topic
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Questions related to Vector Error Correction

Azat Aituar
answered a question related to Vector Error Correction Similar topics
Any recommendations for which software to use to estimate panel VEC
(vector error correction)? Vector Error Correction Model VECM Cointegration Granger Causality EViews Eco
Question 3 answers
Azat Aituar Top experts
I have tried to find commands for VEC for panel data in Stata. Apparently Stata has
no built-in program for this issue.
Miguel D. Ramirez
26.65 · Trinity College

Azat Aituar Patricia Renou-Maissant

Thank you the response eviews was my second choice, but couldn't find 11.71 · Université de Caen Nor…
command for panel data vec in eviews either.
Deborah Bentivoglio
7.32 · Università Politecnica dell…

Mohammad Ismail Hossain

View 5.87 · Bangladesh Agricultrual …
Muhammad Musa
Arnab Paul
asked a question related to Vector Error Correction
5.14 · Intel
Please why do my result shows 'Near Singular Matrix' when running Johansen
Cointegration Test? Olorunfemi Yasiru Alimi
4.57 · University of Lagos
Question
i used about for variables of which only one is in percentage/rate and the others are Naresh Bodkhe
in billions. Please what should i do? 3.86 · Gokhale Institute of Politi…

Ioannis Voutsinas
View 3.1 · BANK OF GREECE
Debopam Ghosh Oluwaseyi Adelowokan
answered a question related to Vector Error Correction 2.79 · Olabisi Onabanjo Univers…
Hello everyone, is there anyone who can help me with articles on error
correcting codes in quantum theory and its applications ? Arifuzzaman Khan
1.96 · Bangladesh Bank
Question 7 answers
Eyo Eyo
Mohammed Hamedoun
1.17 · University of Calabar
In fact, I'm working on a thesis project on Quantum Information and precisely on
quantum error correcting codes. I just started not long ago my research on the Dan Holguin
subject, and specifically how one can go from a classical signal to a quantum signal Wave Dough
to describe the algorithms of error correction codes in physical channels.
Slava Sabirov
Skolkovo Institute of Science and T…

Debopam Ghosh Mordecai D Ben

the following text may be of help to you, it contains a good mathematical Kogi State University, Anyigba, Nig…
analysis of quantum error correction codes in the relevant chapters.
quantum computing: from linear algebra to physical realizations , authors:
mikio nakahara and tetsuo ohmi, reference to original articles you can find
in the book itself. Didn't find what you're looking for?

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Krzysztof Beck in other areas on ResearchGate.
answered a question related to Vector Error Correction
Discover more research
Can you recommend a good R package for VECM and cointegration?
Question 12 answers
Krzysztof Beck
Hi,

can anyone recommend R package for cointegration and vector error correction
model?. Ideally the package should be able to deal with both time series and panel
data?

Best regards

KB

Krzysztof Beck
Well, but I'm actually asking for a specific R package. Can you
recommend any?

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Karobi Borah
asked a question related to Vector Error Correction
In what situations the Vector Error Correction Model (VECM) is used?
Question
VECM model.

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Chuck A Arize
answered a question related to Vector Error Correction
Which post-estimation tests must one report after a VECM estimation?
Question 5 answers
Beatriz Torrinha
I'm modelling the twin deficits via a Vector Error Correction Model, given that all the
4 variables included are I(1) and I find 1 cointegrating vector among them. I intend to
ascertain the direction of causality between Budget and Current Account Balance. I
have already tested for autocorrelation of the residuals through a LM test and
normality.

Which other post-estimation tests, such as stability tests, must one report in an
academic paper after a VECM estimation?

Chuck A Arize
I agree with Mousumi but I will add RESET to avoid general non-linearity.

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2/7/2019 35 questions in Vector Error Correction | Science topic

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Srikanth Potharla
answered a question related to Vector Error Correction
Properties of the residuals obtained from VECM and VAR
Question 2 answers
Srikanth Potharla
As we know that the residuals of CLRM should meet three properties viz., normality,
homoscedasticity and no autocorrelation.

whether the same conditions are applicable to the residuals obtained from Vector
Error Correction Model and Vector Autoregression Model.

Are there any additional conditions to be satisfied by these residuals?

thanks in advance

Srikanth Potharla
thank you Prof. Mousumi Bhattacharya.

can you suggest any standard text which discusses about the diagnosis of
the residuals of VAR/VECM(in non-technical language).

'basic econometrics' by gujarati has very limited information about this.

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Mousumi Bhattacharya
answered a question related to Vector Error Correction
Generalized IRF with STATA for panel Vector Error Correction models
Question 1 answer
Mateo Caicedo
I'm working on my thesis with a panel Vector Error Correction model, and I want to
obtain Generalized IRF with STATA. how can I do it?

I've been performing the estimations with the package xtpmg, however the option irf
is not allowed.

Thanks!

Mousumi Bhattacharya
generalized IRF is available in eviews

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John C Frain
answered a question related to Vector Error Correction
What does it mean if Johansen Cointegration indicates 4 cointegrating eqn(s)
at the 0.05 level?.
Question 5 answers
Priyanka Sahu
What does it mean if Johansen Cointegration indicates 4 cointegrating eqn(s) at the
0.05 level?. can I further continue with the ARDL model and with four cointegrating
eqn(s) at the 0.05 level.

John C Frain
I presume that you have n>4 I(1) variables in your system. You need to
check on two points in particular. In most econometric textbooks you will
find, in the section on simultaneous equations an account of identification.
This amounts to inserting restrictions (often zero restrictions but not
necessarily so) on the coefficients so that they can be estimated. You
have 4 cointegrating vectors. Any 4 independent linear combinations of
these 4 are also cointegrating vectors. Thus you can not make any
structural inference using the cointegrating vectors produced in the first
run of the Johansen procedure. As soon as you are satisified that your
result is good (specification tests) you should proceed to identify 4
cointegrating vectors by imposing restrictions using economic theory or
common sense. All of this is a bit complicated and you may need to do a
bit of reading. I would recommend Juselius The Cointegrated VAR model
which covers a lot of this material. Most of this is beyond what can be
covered in a forum such as this and you might seek help from a local
expert. Most elementary econometrics texts have very poor coverage of
this material.

It is likely in your case that ARDL methods are not valid if you have a
failure of week exogeneity.

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Seyed Mohammadreza Mahdavian
answered a question related to Vector Error Correction
How to fix ''near singular matrix'' problem in Zivot-Andrews unit root test?
Question 7 answers
Abhishek Chand
REGRESSORS MAY BE PERFECTLY COLLINEAR

Seyed Mohammadreza Mahdavian

you can run this with rats software. in the rats, you can choice the various
method of lag such as AIC, BIC

also You can change the lag at the start of the estimate in eviews .

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Niroshani Kumari
asked a question related to Vector Error Correction
Hi, I run a Johnson co integration test with 9 variables.As per the output at
most 7 co-integration equations is the significant hypothesis.
Question
Please advice me

Hi, I run a Johnson cointegration test with 9 variables.As per the output at most 7 co-
integration equations is the significant hypothesis.I need some one's advice to go
ahead with my analysis.can I use this as a valid model to go further with Vector error
correction model

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2/7/2019 35 questions in Vector Error Correction | Science topic
Cointegration test results.docx · 63.46 KB

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James R Knaub
answered a question related to Vector Error Correction
How to calculate p value from qrt pcr data set, please share excel format, and
how to interpret its results
Question 1 answer
Muhammad Abdullah
I calculated all other parameters regarding this but unable to make p value and
graph, its my first time

James R Knaub
Hello Muhammad -

Apparently I am not familiar with your subject matter, but please note that
a single p-value
value does not stand alone meaningfully. A type II error
analysis or similar sensitivity analysis is needed. (Please do not use 0.05
as a threshold for everything.) Both p-values
value and confidence intervals are
sample size dependent, but a confidence interval is much more practically
interpretable. If you can use a confidence interval for whatever you are
doing, I suggest you do that and forget about p-values.
value

Cheers - Jim

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Mahmoud Hamada
asked a question related to Vector Error Correction
Vector Error Correction Model with exogenous variables?
Question
Does anyone have a working example of simulating VECM model with exogenous
variables?

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Krzysztof Beck
answered a question related to Vector Error Correction
A Question about VAR estimation.
Question 12 answers
Mizuki Tsuboi
I have a question about VAR estimation. With no unit root, no problem. Unit root
found, we check the cointegration. If cointegrated, we use VEC. If not, we difference
the time series (and consume a little degree of freedom). Am I correct or is there any
other way to go?

As far as I know, many macro time series should result in VEC. But people seem to
prefer first-differencing. I often see the impulse response function with 95%
confidence interval, which is not available if VEC is used.

Krzysztof Beck
Generally the strategy you described is correct. Of course you should
make additional tests: for normality, lag specification, heteroscedasticity,
autocorrelation, etc. The problem with impulse response function, simply
depends on the software you are using. you can always calculate band of
confidence.

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Muawya Ahmed Hussein
asked a question related to Vector Error Correction
What is vector error correction model (VECM)?
Question
When and How vector error correction model (VECM) is used in econometrics?

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Mariam Atef
answered a question related to Vector Error Correction
What is the approprite cointegration test that could be applied to a model that
includes variables integrated from differents orders like 0, 1 and 2 ?
Question 3 answers
Mariam Atef
If i have a model that contains ten variables, six of them are integrated of order zero
and two of them are integrated of order one and the other two are integrated of order
two. What is the appropriate cointegration test to test the longrun relation?

Mariam Atef
Thanks a lot .

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Bibek Sapkota
answered a question related to Vector Error Correction
Easy step by step guide to design a Discrete Choice Experiment?
Question 3 answers
Bibek Sapkota
Easy step by step guide to design a Discrete Choice Experiment?

Bibek Sapkota
Could not find this. Is this a book? 2015 or 2005?

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Farrukh Mahmood
answered a question related to Vector Error Correction
What is the best program to use vector error correction, vector autoregression
models, and impulse response functions for small T (<12) panel data?
Question 1 answer
Azat Aituar
See above

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2/7/2019 35 questions in Vector Error Correction | Science topic

Farrukh Mahmood
it is not a proper to chose technique on the base of your knowledge, rather
data plus your objective of research will decide which technique is proper.

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Arun Vishnu Kumar
answered a question related to Vector Error Correction
Where i can learn about Vector Error Correction Model (VECM)?
Question 1 answer
Deepti Singh
Can anyone suggest where i can learn about Vector Error Correction Model (VECM)

Arun Vishnu Kumar

Please see if this link is useful
...http://davegiles.blogspot.in/search/label/VECM%20models

Good luck.

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Rodolfo Nicolay
answered a question related to Vector Error Correction
What's the difference between an error correction model (ECM) and a Vector
Error correction model (VECM)?
Question 5 answers
Nip Nip
Are these arguments right?

-first is about simple model and later is about more then 2 variables or using matrix
form

-An error correction model is a single equation. A VECM is a multiple equation

model based on a restricted VAR.

Attached are the sources!

Thanks in advance for your replies!

Regards,

Joel

https://www.quora.com/What-is-difference-between-error-correction-model-and-
vector-error-correction-model-in-time-series-analysis

http://forums.eviews.com/viewtopic.php?t=8022

Rodolfo Nicolay
Your argument is right. Try to put some references on this, it will add value
to your arguments.

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Mousumi Bhattacharya
answered a question related to Vector Error Correction
How did Panel unit root tests, cointegration and vector error correction model
panel in EViews?
Question 1 answer
Amirreza Ramezani
How did Panel unit root tests, cointegration and error correction model panel in
EViews?

Mousumi Bhattacharya
If you mean how to do it, I will say select data, go to Proc , ....Reshape
current page.....stack in a new page.....In stacking identifiers.... select the
variable.....click ok.

Now go to view.....select unit root test.........You will get a variety of panel

unit root test

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Nip Nip
answered a question related to Vector Error Correction
Coefficient of Coint.Eq. in Vector Error Correction Model?
Question 1 answer
Stelios Markoulis
I have estimated a vector error correction model and would like to ask how I can
interpret the coefficient of the cointegrating equation, e.g. what does the sign of the
coefficient tell me? What about its magnitude?

Many thanks.

Nip Nip
Normallly, it should be within 0 and -1 and statisticly significant. meaning
that your variables are, in fact, cointegrated.

Also it tells you the adjustment speed of your disequilibrium condition

each period.

if your series are yearly, a value of 0.3 tells your that your disequilibrium
condition each are corrected in 30% each year.

View
Christian Dreger
answered a question related to Vector Error Correction
How to solve endogeneity problems when using vector error correction model
?
Question 3 answers
Maryam Giahi
In a vector error correction model, assume the variables are endogeneus and then
estimate the short-run and long-run relationships between the variables. May I know

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2/7/2019 35 questions in Vector Error Correction | Science topic
how to deal with a endogeneity problem when using VECM?

Christian Dreger
In principle, all variables are endogeneous. However, because you have
cointegrating relationships, you can explore which of the variables adjust
to restore the long run after a shock has occured. If a variable does not
adjust to equilibrium errors, it is weakly exogeneous with respect to the
cointegrating relationships. This iamounts to test for zero restrictions in the
alpha-matrix of feedback coefficients. Moreover, a variable is strongly
exogenous, if it is weakly exogenous and not affected by the dynamics of
other variables of the system, i.e. the absence of Granger causality.
Finally, superogeneity refers to the irrelevance of the Lucas critique of
parameters depending on the policy regime.

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Refk Selmi
answered a question related to Vector Error Correction
Can someone help me on how you can best perform Granger causality in
Vector Error Correction Model?
Question 7 answers
Emmanuel Kwasi Mensah
I understand that when your variables are integrated/cointegrated as oppose to the
stable VAR, the Wald test does not have standard Chi-square distribution. A lot of
test appearing recently in literature are proposed. Am new in this area and the more
I try to read different literature on this, the more I get confused, perhaps I do know
the right literature yet.

I also like to know whether a suggested Wald test perform Granger causality only in
the short run or include both the cointegration equation in the analysis. As in
EVIEWS, I guess it's only the short run.

Lastly any perfect paper or book that provides that mathematical intuition to the Wald
test in this case?

Refk Selmi
These papers (especially the second one) may help you to better
understand:

Clarke, J. A. and S. Mirza (2006). A comparison of some common

methods for detecting Granger noncausality. Journal of Statistical
Computation and Simulation, 76, 207-231.

Dolado, J. J and H. Lütkepohl (1996). Making Wald tests work for

cointegrated VAR systems. Econometric Reviews, 15, 369-386.

I suggest also to visit this link:

http://davegiles.blogspot.com/2011/10/var-or-vecm-when-testing-for-
granger.html

Best regards,

View
Andres Palacio
answered a question related to Vector Error Correction
How do I construct confidence intervals for the IRFs in a VEC model?
Question 2 answers
Ilona van Schaik
I want to include the confidence intervals in my impulse response functions that I
obtain using a vector error correction model. Stata does not provide this information.
How can I estimate the confidence intervals?

Andres Palacio
Hello

Have you been able to add it? I found one solution

in http://davegiles.blogspot.co.uk/2011/11/impulse-response-functions-
from-vecms.html, do you work witk Stata? thanks

View
Mohammed Aliu Momoh
asked a question related to Vector Error Correction
Vector Error Correction Model?How many number observations will be need
especially when the largest no of observation for one of the variables is 17?
Question
Am trying to estimate a relationship between for which there are observations for the
period - 1985 and 2012, unfortunately in one of the variable, the observation started
with 1997. Previous years were not in existence . what is the best way to treat this
kind of situation?

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Joginder Singh
answered a question related to Vector Error Correction
Is multicollinearity a serious problem in a vector error correction model?
Question 7 answers
Najibullah Hassanzoy
Will there be a problem of multicollinearity in a Vector Error Correction Model when
we want to find the long and short run relationship between the prices of two brands
of a same commodity, rice in my case?

Joginder Singh
I perfectly agree with Mr Joko Mariyono. You may even modify some
problem variables (say by taking inverse) and interpret accordingly.

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A researcher
answered a question related to Vector Error Correction
How to calculate the covariance of a standard normal random vector projected
onto the sphere?
Question 7 answers
Robert Mansel Gower

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2/7/2019 35 questions in Vector Error Correction | Science topic
Given x ~ N(0,I) is an n-dimensional normal random vector, where I is the identity
matrix. Prove that

E [ x x^T / (x^Tx)] = (1/n) I,

Or equivalently, let y = x/||x||, what is the covariance of y ?

A researcher
The simplest way is to observe that this matrix (let it be A) should be
proportional to the identity matrix. For that let O be any orthonal matrix,
then consider OTAO, change variables (redefine random variable or
value) z=OTx and
change variables in the integral for the average value
conclude that OTAO=A for any orthonal O. This is possible only if A=c I,
there c is some real (because A is evidently simmetric) constant that can
be found by considering trace of A.

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Nip Nip
answered a question related to Vector Error Correction
How to interpret the coefficient of the lagged error-correction term when it is
negative but greater than 1 in absolute value?
value
Question 1 answer
Artatrana Ratha
Data is annual. Is it a problem? Thank you.

Nip Nip
Please, check your model.

Normallly, it should be within -1 and 0 and statisticly significant. meaning

that your variables are, in fact, cointegrated.

Also it tells you the adjustment speed of your disequilibrium condition

each period.

if your series are yearly, a value of 0.3 tells your that your disequilibrium
condition each are corrected in 30% each year.

View
David Gordon Mcmillan
answered a question related to Vector Error Correction
Can we estimate a single equation from a system with multiple cointegrating
ranks?
Question 1 answer
Rajan Parajuli
I am estimating a single-equation VEC model from a seven-variable system. The
Johansen Cointegration tests (both Trace and MaxEignvalue)
value reveal that the system
have 4 distinct ranks. Will my single-equation estimation be valid if I just specify r=1
in my VEC estimation? Thanks in advance.

David Gordon Mcmillan

For clarity are you estimating a single equation error-correction model, as
a VEC implies multiple equations. In short, if you have mutiple
cointegrating equations but you only estimate one, your coefficients will
contain bias (effectively your cointegrating equation will be averaging the
effects of all four). You are essentially omitting information. Of course, you
may primarily only be interested in the first cointegrating equation and it
ultimately depends on why your are constructing the model (e.g.
forecasting etc), but the coefficients will be biased.

View
Patrick Solé
answered a question related to Vector Error Correction
Is it possible to implement any Reed-Solomon codes using Vedic
mathematics?
Question 2 answers
Jagannath Samanta
How can Vedic mathematics solve the problems associated with error-correcting
codes?

Is there any application in finite fields to solve the 'Key Equation solver' block of RS
code?

Patrick Solé
I doubt RS over GF(256) can be decoded mentally. However there are well
known papers of Vera Pless for instance about decoding Golay code by
hand.

View
Nabya Tehreem
answered a question related to Vector Error Correction
Can anyone help with the Johansen Cointegration test?
Question 13 answers
Josef Gemains
I am investigating the long run/short run effects of some dependent variables on
exchange rate using the Johansen cointegration test and vector error correction
model. I can get the short run relationships from the VECM estimations. What about
the long run relationship from the cointegration test?

I chose 2 lags and have 3 cointegrating equations. The normalized cointegrating

equation I have to look at is I guess the one which says "3 cointegrating equations"
but 3 variables are normalized (with a value 1.000) including the dependent variable.
Does this mean that the coefficients of the 2 independent variables is 0 when I write
the long run cointegrating equation?

What are adjustment coefficients?

Nabya Tehreem
Dear Josef

You do not need to report the results of all the cointegrating equations. You
should only take the first equation where only dependent variable is
normalized. The number of cointegrating equations only tell you that there
is long run relationship.

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2/7/2019 35 questions in Vector Error Correction | Science topic
The error correcting coefficients are your adjustment coefficients which are
present below the normalized equation (the ones in differenced form).

View
Imran Hanif
answered a question related to Vector Error Correction
What does the Coefficient of Error Correction Term Indicate?
Question 9 answers
Srikanth Potharla
in order to find short run dynamics of long run equilibrium relationship, we do Vector
Error Correction after conducting cointegration test.

what does the coefficient fo error correction term indicate and How to interpret its
statistical significance?

thanks in advance

Imran Hanif
It indicates speed of adjustment and negative sign indicates a
convergence from short run to long run and shows a causal relationship of
your explanatory variables with dependent variable.

View

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