After establishing co-integrating relationship between the variables,
VECM is considered as an appropriate technique for obtaining information about causal factors affecting the variables included in the model.
Equations of
VECM used in Equation 5 can be written as follows:
To account for this cointegration, a
VECM was estimated.
Table 5 Results of
VECM model for beer data Price l (a) Price 2 Price 1(-1) .
In the estimation of
VECM the following steps were observed:
After we create a
VECM, we test whether an intercept or/and a trend enter the short-run or the long-run model.
The cointegration results indicated that Model 2 (with an intercept in the baseline cointegrating vector, but not in the VAR) with two baseline cointegrating vectors was most appropriate to proceed with when using a
VECM.
O presente trabalho segue nessa mesma linha de pesquisa e, assim como em Mello e Pisu (2010), objetiva identificar os determinantes da oferta e da demanda de credito para o Brasil utilizando um
VECM com dados agregados mensais.
0133 Table 5:
VECM Long Run Causality result Coefficient Std.
3) After the
VECM was estimated, an LM test found no residual autocorrelation.
The DOLS estimates are used in order to obtain the residuals that are included in the panel
VECM as the error correction terms (ECTs).
However, many of the complicated hedge models (such as the MV model based on
VECM model, GARCH model, threshold GARCH model, and BGARCH model) cannot perform better than the simple OLS model or result in little improvement and even bad results [11].
