Is there a way to estimate a Vector Error Correction Model in SHAZAM?

answered 2014-10-06 08:54:12 +0000

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updated 2014-10-07 19:36:06 +0000

Yes. 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.