Hi everyone!
I'm a postgraduate student and I 'm investigating the causlity among enegy prces and economic growth.I would like to ask you about VECM analysis, because is the first time that I'm running a VECM. First of all, my model uses GDP as dependent variable and 3 energy prices and final consumption as indipendent. I used the vasroc command which suggest me to use 4 lags in my case, then I performend vecrank dependentvariable indipendentvariables, lags(4)
Johansen test denotes that I have 3 cointegrating equations So, I have to perform my VECM using rank(3) and lags(4) Here, I need your help!
In fact, I would like to identify one cointegrating equation that describes GDP and my indipendent variables, but I have 3 cointegrating equations, is it possible to use only one? I mean with constraints or something like that?
And if, I use the original output with 3 cointegrating equations which one would be my ECT in order to identify the long-run relationship?
Please, I need your advice!
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