Creating a VCEM data generating process

Sun, Jun 28, 2009 9:52 AM

Hi all,

Can anyone here please help me how to create a DGP which corresponds to VECM
(Vector error correction) ? Actually I want to define a arbitrary VECM as a
DGP and then study the properties of it's realizations. However I can not
construct an arbitrary VECM from my own, especially it's coefficients, which
lead to strictly I(1) process of individual variable.

Thanks and regards,

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