Therefore, we proceed in estimating the
VECM and analyze the causality effects.
2009) employs Multivariate VAR analysis using the
VECM procedure to study relationships among FDI, Exports and Economic Growth in South Asia and selected emerging countries and find evidence in support of ELG hypothesis.
This paper is the first to test the forward rate unbiasedness hypothesis for the Greek drachma after the abolition of capital controls, and this was done using a full
VECM analysis, including a new test.
Los resultados de la estimacion del
VECM se presentan en la ecuacion (3).
Following Hasbrouk (1995), we calculate a maximum and minimum information share from each
VECM by switching the rows in the covariance matrix of the residuals prior to find the 2 x 2 square root and proceeding with the information share calculation.
Engle and Granger (1987), Engle and Yoo (1987), and LeSage (1990) indicate that if the system under study includes integrated variables and cointegrating relationships, then this system will be more appropriately specified as a
VECM rather than a VAR in levels.
In cointegrated series, as variables may possibly share common stochastic trends so dependent variables in the
VECM must be Granger-caused by lagged values of the error-correction terms.
Assim, por conservadorismo, foram excluidos dos calculos da fracao de ajustamento os pares que nao tiveram ambos os parametros do
VECM significativamente diferentes de zero, nao sendo possivel, assim, verificar, para eles, a velocidade de ajustamento.
Table 4 presents the cointegrating vectors, speed of adjustment coefficients, and some diagnostic checks based on the results provided by the
VECM procedure.
2002) use a bivariate
VECM (Vector Error Correction Model), which is given by
In overall terms, all three
VECMs provide the same information.
The elements of a are known as the adjustment parameters in the
VECM.
