Hello all, I would like to carry out a single-equation approach of the Error Correction Model such as
Delta_y(t) = a + b*y(t-1) + c*x1(t-1) + d*x2(t-1) + e*delta_x1(t) + f*delta_x2(t) + epsilon(t) Where, a, b, c, d, e, f are coefficients to be estimated, y is the dependent variable, and x1, x2 are independent variables. For the single equation approach of ECM, there is a requirement of the weak exogeneity. How could I carry out the test to see if there is weak exogeneity in the above system? I read the book "Bernhard-Analysis of Integrated and Cointegrated Time Series" where in section 8.1.3 it uses alrtest() for the weak exogeneity test. But that is for the vector ECM, where y is of five components, where in my example, y is a scalar, only one component. What would be the best way for me to test the weak exogeneity for the above approach ECM? http://books.google.com/books?id=ca5MkRbF3fYC Thanks very much! Cheers, Rebecca ---------------------------------------------------------------------- This message, and any attachments, is for the intended r...{{dropped:5}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
