[Gretl-users] Creating cointegrated series

Talha Yalta talhayalta at gmail.com
Thu Mar 8 05:23:29 EST 2012


Thanks very much for the suggestions and the fix. Things are clear to me now.

Cheers
Talha




On Thu, Mar 8, 2012 at 11:07 AM, Ignacio Diaz-Emparanza
<ignacio.diaz-emparanza at ehu.es> wrote:
> El 07/03/12 15:56, Talha Yalta escribió:
>> Hi all,
>>
>> I have a few questions/issues to report with a cointegration example
>> that I am trying to simulate using:
>>
>> nulldata 500
>> setobs 1 1950 --time-series
>> series u1 = randgen(N,0,1)
>> series u2 = randgen(N,0,1)
>> series Z1 = 0
>> series Z1 = Z1(-1) + u1
>> series Z2 = 75 + 0.75*Z1 + u2
>>
>> 1)- When I run a VECM model afterwards, I always have one of the
>> inverse roots on the edge. Am I doing something wrong?
>
> If you mean "on the real edge", this is a consequence of the real root
> z=1 [from polynomial (1_L)] which is present in both series.
>
>
>
> --
> Ignacio Diaz-Emparanza
> DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
> UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
> T.: +34 946013732 | F.: +34 946013754
> www.ea3.ehu.es
>
>
>
>
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