Multiple Time Series Modeling Using the SAS VARMAX Procedure

Chapter 13: Vector Error Correction Models

Introduction

The Error Correction Model

The Matrix Formulation of the Error Correction Model

The Long-Run Relation

A Simple Example: The Price of Potatoes in Ohio and Pennsylvania

A Simple Regression

Estimation of an Error Correction Model by PROC VARMAX

Dickey-Fuller Test Results

Estimated Error Correction Parameters

The αβ^T Matrix

Properties of the Estimated Model

The Autoregressive Terms in the Model

Theory for Testing Hypotheses on β Parameters

Tests of Hypotheses on the β Parameters Using PROC VARMAX

Tests for Two Restrictions on the β Parameters

Estimated α Parameters under the Restrictions

Tests of Hypotheses on the α Parameters by PROC VARMAX

The TEST Statement for Hypotheses on the α Parameters ...