Vector Error-Correction Models

Multivariate linear models including cointegrating relations and exogenous predictor variables

Vector-error correction (VEC) models, or cointegrated VAR models, address nonstationarity in multivariate time series resulting from co-movements of multiple response series. For an example of an analysis using VEC modeling tools, see Modeling the United States Economy.

Apps

Econometric Modeler

Analyze and model econometric time series

Functions

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Create Model

vecm Create vector error-correction (VEC) model

Fit Model to Data

`estimate`	Fit vector error-correction (VEC) model to data
`infer`	Infer vector error-correction (VEC) model innovations
`summarize`	Display estimation results of vector error-correction (VEC) model

Convert Between Models

`arma2ar`	Convert ARMA model to AR model
`arma2ma`	Convert ARMA model to MA model
`vec2var`	Convert VEC model to VAR model
`var2vec`	Convert VAR model to VEC model
`varm`	Convert vector error-correction (VEC) model to vector autoregression (VAR) model

Generate Simulations or Impulse Responses

`simulate`	Monte Carlo simulation of vector error-correction (VEC) model
`filter`	Filter disturbances through vector error-correction (VEC) model
`irf`	Generate vector error-correction (VEC) model impulse responses
`fevd`	Generate vector error-correction (VEC) model forecast error variance decomposition (FEVD)

Generate Minimum Mean Square Error Forecasts

forecast Forecast vector error-correction (VEC) model responses

Topics

Interactive

Econometric Modeler App Overview
The Econometric Modeler app is an interactive tool for visualizing and analyzing univariate or multivariate time series data.
Conduct Cointegration Test Using Econometric Modeler App
Interactively test series for cointegration by using the Engle-Granger cointegration test and the Johansen cointegration test.
Specifying Multivariate Lag Operator Polynomials and Coefficient Constraints Interactively
Specify multivariate lag operator polynomial terms for time series model estimation using Econometric Modeler.
Estimate Vector Error-Correction Model Using Econometric Modeler App
Interactively fit several vector error-correction (VEC) models to data. Then, select an estimated model and export it to the command line to generate forecasts.

Programmatic

Modeling the United States Economy
This example illustrates the use of a vector error-correction (VEC) model as a linear alternative to the Smets-Wouters Dynamic Stochastic General Equilibrium (DSGE) macroeconomic model, and applies many of the techniques of Smets-Wouters to the description of the United States economy.
Generate VEC Model Impulse Responses
Generate impulse responses from a VEC model.
VEC Model Monte Carlo Forecasts
Generate Monte Carlo and MMSE forecasts from a VEC model.