Practical on setting up a VECM
This practical covers the fitting of VECM models.
In addition to the provided memo, I also provide a coding script memo that you can use to go through the process of setting up a VECM below:
Also see the following recursive rolling window forecasting routine. Note that you can use any model (B-VAR, VECM, etc) by selecting the appropriate model format.
For attribution, please cite this work as
Katzke (2019, May 8). Time-Series Econometrics: Practical 3: VECM Modelling. Retrieved from https://www.ts.nfkatzke.com/posts/2019-05-08-practical-3-vecm-modelling/
BibTeX citation
@misc{katzke2019practical,
author = {Katzke, N.F.},
title = {Time-Series Econometrics: Practical 3: VECM Modelling},
url = {https://www.ts.nfkatzke.com/posts/2019-05-08-practical-3-vecm-modelling/},
year = {2019}
}