Question 7. Given that Y₁ = Bat + et t=1,2,...,T and et is found to be stationary. c) Consider, Y, is a (Tx 4) data matrix. Suppose you find that Y, is I(1), and proceed to estimate the VECM with 2 lags using the Johansen's full-information MLE approach. AY₁ =D+IIY₁-1+B₁AY₁-1+B₂AY₁-2 +2₂ You realise that the Johansen's approach is not a straight forward estimation where all the parameters are not estimated jointly. List the steps taken to estimate the parameters in the model.

Question 7. Given that Y₁ = Bat + et t=1,2,...,T and et is found to be stationary. c) Consider, Y, is a (Tx 4) data matrix. Suppose you find that Y, is I(1), and proceed to estimate the VECM with 2 lags using the Johansen's full-information MLE approach. AY₁ =D+IIY₁-1+B₁AY₁-1+B₂AY₁-2 +2₂ You realise that the Johansen's approach is not a straight forward estimation where all the parameters are not estimated jointly. List the steps taken to estimate the parameters in the model.

ENGR.ECONOMIC ANALYSIS

14th Edition

ISBN:9780190931919

Author:NEWNAN

Publisher:NEWNAN

Chapter1: Making Economics Decisions

Section: Chapter Questions

Problem 1QTC

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