Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in Vector Error Correction Models (VECM). This comment shows that their methodology does not have a unique solution, when applied to their VECMs with more than two variables. The problem arises from the interplay of cointegration assumptions and long-run restrictions imposed...

------------------------------------------------------------------------------------------------------------------Abstract: This study develops new tests for unit roots and cointegration rank in heterogeneous time series panels using methods that are robust to the presence of both incidental trends and cross sectional dependency of unknown form. Furthermore, the procedures do not require a choi...

The paper investigates the effects of imports and foreign capital inflows on economic growth in case of Pakistan over the period of 1990Q1-2008Q4. We have applied ARDL bounds testing approach to examine the long run relationship and investigated the direction of causality by using VECM multivariate framework. Our analysis confirms the long run relationship between imports, foreign capital inflo...

This study examined the effect of demographic bonuses, unemployment, and inflation on economic growth in Jambi Province. used secondary data from Central Bureau Statistics Province during 2000-2021. The were analyzed using Vector Error Correction Method (VECM). All tests this Stationarity Test, Lag Length Criteria VAR Stability Cointegration Granger Causality VECM Estimation. results showed tha...

This study proposed an optimal model to examine the relationship between Bitcoin price and six macroeconomic variables – price, Standard Poor's 500 volatility index, US treasury 10-year yield, consumer gold dollar index. It also examined effectiveness of vector error correction (VECM) in analyzing interrelationship among these variables. The authors employed following approach: first, sampled p...

This paper investigates the lag length selection problem of a Vector Error Correction Model (VECM) by using a convergent information criterion and tools based on the Box-Pierce methodology recently proposed in the literature. The performances of these approaches for selecting of the optimal lag length are compared via Monte Carlo experiments. The effects of misspecified deterministic trend or c...

We study a large-dimensional Dynamic Factor Model where: (i) the vector of factors F t is I ( 1 ) and driven by number shocks that smaller than dimension ; and, (ii) idiosyncratic components are either or 0 . Under (i), cointegrated can be modeled as Vector Error Correction (VECM). (ii), we provide consistent estimators, both cross-sectional size n time T go to infinity, for factors, loadings, ...

We study a large-dimensional Dynamic Factor Model where: (i) the vector of factors F t is I ( 1 ) and driven by number shocks that smaller than dimension ; and, (ii) idiosyncratic components are either or 0 . Under (i), cointegrated can be modeled as Vector Error Correction (VECM). (ii), we provide consistent estimators, both cross-sectional size n time T go to infinity, for factors, loadings, ...