Vector Error-Correction Models

Multivariate linear models including cointegrating relations and exogenous predictor variables

Vector-error correction (VEC) models, orcointegrated VAR models，在多个响应序列的共同体内产生的多元时间序列中解决非平稳性。有关使用VEC建模工具分析的示例，请参见Modeling the United States Economy.

Apps

Analyze and model econometric time series

vecm Create vector error-correction (VEC) model

`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

`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

`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)

forecast Forecast vector error-correction (VEC) model responses

Econometric Modeler App Overview
计量经济学建模器应用程序是一种交互式工具，用于可视化和分析单变量或多变量时间序列数据。
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.

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模型蒙特卡洛预测
Generate Monte Carlo and MMSE forecasts from a VEC model.