Estimating the vector Error Correction Model (VECM) using Gretl Statistical Software

This video provides insight into estimating the vector error correction model using Gretl software. This is to help beginners who wish to learn something about how to perform data analysis.

[@ruche07]

hello thanks for the Gretl videos so far, pls i need SVAR analysis as well using Gretl

[@dominikavatahova3558]

Hello, your Gretl videos are super helpful for my thesis analysis, thank you so much for sharing valuable information!😃 I'm currently trying to chose the best model for my non-stationary economic time series, and I think that VECM is the best option so far.... I was wondering if you are planning more videos about VECM interpretation, perhaps to go into more details?

[@YKE630]

Hello , please are all the variables you are using integrated at first-order difference? If they are integrated at first order difference then you can use VECM . However if the variables are made of the I(0) and I(1) then I think the ARDL model will be more suitable for you . However, I can also do an extra video on the VECM in the upcoming days .
Thank you

[@amirdaly6779]

Hello, can VECM be performed if variables are not integrated and non stationary?

[@YKE630]

@@amirdaly6779 not possible. Please , always remember that VECM uses variables integrated at order one. You can go by these steps ( first test for unit root in all the variables both at level and first difference , check for cointegration, then decide on which method is appropriate)If the variables are not stationary and not integrated at any point then I suggest you recheck all your choice of indicators. However if you have variables which are made of I(0) and I(1) you can try using the ARDL method. Please note that there should always be a justification for, why you are using a particular method.