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VECM

  1. renemuweParticipant 2015-09-17 at 6:48 am

    HI Thanks for the VECMFit sample link.

    Going through the VECMFit java class, could you please show me how to retrieve the Beta coefficient from the Long Run Equation and the Error correction coefficient from the ECM model.

    Thanks

    Robert

  2. RyuParticipant 2015-09-17 at 5:14 pm

    I am not clear on what you are asking. What do you mean by ‘beta’? Our VECM specification is this: \Delta Y_t = \mu + \Pi Y_{t-p} + \sum \left ( \Gamma_i Y_{t-1} \right ) + \Psi D_t + \epsilon_t

    There are methods to retrieve each terms. See the javadoc: http://www.numericalmethod.com/javadoc/suanshu/com/numericalmethod/suanshu/stats/timeseries/linear/multivariate/stationaryprocess/arma/VECM.html