EVIEWS tutorial: Cointegration and error correction
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EVIEWS tutorial: Cointegration and error correction
EVIEWS Tutorial 1. EVIEWS tutorial: Cointegration ... On the City University
system, EVIEWS 3.1 is in. Start/ Programs/ ... EVIEWS Tutorial 5. Generate ln(
FT500).
EVIEWS tutorial: Cointegration and error correction Professor Roy Batchelor City University Business School, London & ESCP, Paris
The Thehypothesis hypothesisthat that the thefirst firstdifference differenceof of lft500 has a unit root lft500 has a unit root can canbe berejected. rejected. So Solft500 lft500isisI(1) I(1)
The variables lft500 (log of stock index) and ldiv (log of dividends per share) are both I(1)
r
We can test whether they are cointegrated – that is, whether a linear function of these is I(0) – An example of a linear function is lft500t = a0 + a1ldivt + ut when ut = [lft500t - a0 - a1 ldiv] might be I(0)
r
The expression in brackets [] is called the cointegrating vector, which has normalised coefficients [ 1, -a0 , -a1 ]
VAR-ECM-X models for both endogenous variables About About2% 2%ofof disequilibrium disequilibrium “corrected” “corrected”each eachmonth month by changes in by changes individends dividends ldiv ldiv Exogenous ExogenousI(0) I(0) variables variables affecting affectingstock stock index indexand and dividends dividends
EVIEWS Tutorial 27
About About10% 10%ofof disequilibrium disequilibrium “corrected” “corrected”each eachmonth month by bychanges changesininstock stock index indexlft500 lft500
