Tutorial Vector Error Correction Model (VECM) dengan Eviews FULL

Introduction

This tutorial provides a comprehensive guide to implementing a Vector Error Correction Model (VECM) using EViews software. VECM is an advanced extension of the Vector Autoregression (VAR) model that accounts for cointegration among variables, making it essential for time series analysis where variables move together in the long run. This guide will help you understand the steps necessary to create a VECM in EViews, enabling you to analyze economic relationships more effectively.

Step 1: Preparing Your Data

To begin, you need to gather and prepare your data for analysis.

• Collect Time Series Data: Ensure you have time series data for the variables you wish to analyze. Common sources include financial databases or government economic reports.
• Import Data into EViews:
  • Open EViews and create a new workfile.
  • Use the "File" menu to import your data, selecting the appropriate file format (Excel, CSV, etc.).
• Check Data Stationarity: Before proceeding, ensure your data series are stationary. This can be done using the Augmented Dickey-Fuller (ADF) test within EViews.

Step 2: Testing for Cointegration

Once your data is prepared, you need to test for cointegration among your variables.

• Select Variables for Cointegration Test: Choose the variables you want to include in your VECM.
• Run the Johansen Cointegration Test:
  • Go to the "Quick" menu and select "Group Statistics."
  • Choose "Cointegration Test."
  • Configure the test settings, including the lag length and number of cointegration equations.
• Analyze Test Results: Review the output to determine if cointegration exists. Look for the trace statistics and critical values to make your decision.

Step 3: Estimating the VECM

After confirming cointegration, you can estimate the VECM.

• Open the VECM Estimation Dialog:
  • Go to the "Quick" menu, then select "Estimate Equation."
  • Choose the VECM option.
• Specify the Model:
  • Enter the variables and specify the lag length based on your earlier analysis.
  • Select the error correction term options as needed.
• Estimate the Model: Click "OK" to run the estimation. Review the output for coefficients and diagnostics.

Step 4: Analyzing the Results

The next step is to analyze the output from your VECM estimation.

• Interpret Coefficients: Understand the impact of each variable on others, especially the speed of adjustment coefficients.
• Check Model Diagnostics: Look for residual diagnostics to ensure the model fits well. This includes checking for autocorrelation and heteroscedasticity.
• Generate Forecasts: Use the estimated model to produce forecasts for your variables by navigating to the forecasting options in EViews.

Step 5: Conducting Impulse Response Analysis

Impulse response analysis helps you understand how shocks to one variable affect others over time.

• Select the Impulse Response Function:
  • Navigate to the "View" options in your VECM output.
  • Choose "Impulse Response."
• Configure the Analysis: Set the number of periods for the response and select the variable to shock.
• Analyze the Output: Review the graphs generated to see the dynamic interactions between your variables.

Conclusion

In this tutorial, we covered the essential steps to implement a Vector Error Correction Model using EViews. You learned how to prepare your data, test for cointegration, estimate the VECM, analyze the results, and conduct impulse response analysis. As a next step, consider applying this model to your own data sets to gain insights into economic relationships. Remember to check the assumptions behind VECM and validate your model for robust results.