Dear Sir or Madam,
I have a Problem with the second Step of Engle and Yoo's co-integration technique. My starting point is function:
Yt= a + a1 Kt +a2 Lt+ a3 Mt + a4Pt+a5St+a6Dumm1 +a7Dumm2+a8Dumm3 +qt (*).
Dumm1,2,3: Dummy variables
qt: error term
Y: Output
Xt=(Kt, Lt, Mt, Pt, St): Input ( Kapital, Labour, Standards, Patents, Standards, Licences)
Step1. The Estimation of the coefficients of the regression (*) by OLS. (no problem)
Delta Yt=Yt-Yt-1.
Step2. Error correction Model: Delta Yt= b(L) DeltaYt-1 + T(L) Delta Xt +c qt-1 +ut.
b(L ): Lag-Polynom
T(L): Lag-Matrix.
qt-1: error correction term from step 1.
My question is: How can I determine number of lags of DeltaYt-1 and number of lags of variables: Kt, Lt, Mt, Pt, St in the error correction model?
Best regards
Inna Haller
______________________________________________________________
Verschicken Sie romantische, coole und witzige Bilder per SMS!
Jetzt bei WEB.DE FreeMail: http://f.web.de/?mc=021193
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
