SHAZAM Questions and Answers (Q&A) - RSS feedhttp://community.econometrics.com/questions/SHAZAM Econometrics, Statistics and Analytics Communityen<font color="white">Copyright <b>SHAZAM Analytics, 2018</b></font>Mon, 06 Oct 2014 08:54:12 +0000Is there a way to estimate a Vector Error Correction Model in SHAZAM?http://community.econometrics.com/question/547/is-there-a-way-to-estimate-a-vector-error-correction-model-in-shazam/I want to estimate a Vector error correction model using monthly data. Mon, 06 Oct 2014 03:43:02 +0000http://community.econometrics.com/question/547/is-there-a-way-to-estimate-a-vector-error-correction-model-in-shazam/Answer by SHAZAMHelp for <p>I want to estimate a Vector error correction model using monthly data. </p>
http://community.econometrics.com/question/547/is-there-a-way-to-estimate-a-vector-error-correction-model-in-shazam/?answer=548#post-id-548Yes. A SHAZAM Procedure for the Johansen VECM method can be found in the Procedure Library supplied with SHAZAM 11.1 or later.
The procedure permits specification of seasonality, number of lags, endogenous variables and the number of cointegrating vectors. If the number of cointegrating vectors specified is 0 then the procedure will carry out rank tests and estimate a VECM if one or more is found. A number of different combinations of drift and error correction term specifications can be selected.
This procedure was written by Daehoon Nahm at Macquarie University. See also this [question](http://community.econometrics.com/question/441/how-can-i-do-johansen-cointegration-test-with-shazam-software/).
Mon, 06 Oct 2014 08:54:12 +0000http://community.econometrics.com/question/547/is-there-a-way-to-estimate-a-vector-error-correction-model-in-shazam/?answer=548#post-id-548