Interpreting Vector Error Correction Model in STATA

by wiyofoje   Last Updated July 11, 2019 19:19 PM

I'm studying the relationship between house prices and GDP, unemployment, mortgage rate, construction starts and construction costs. Kwiatkowski-Phillips-Schmidt-Shin test declines stationarity and augmented Dickey-Fuller test confirms a unit root. All variables are in natural logarithms.

Optimal lag length is 4 based on AIC and HQIC. Johansen test for cointegration then suggests 4 cointegrated equations in the model. Hence to usage of VECM.

Running the VECM model, I get the following results:

STATA screenshot 1:

STATA screenshot 2:

I am not sure how to interpret these. What is the long term and short term relationship? Any help would be greatly appreciated!! Thank you

Tags : vecm

Related Questions

Updated May 22, 2015 00:08 AM

Updated March 09, 2017 00:19 AM

Updated May 05, 2017 03:19 AM

Updated July 23, 2017 06:19 AM