Regression modelEconometrics / time series
Robust Vector Error Correction Model (Robust VECM)
Robust VECM extends the classical Vector Error Correction Model by replacing ordinary least squares estimation with outlier-resistant procedures — such as M-estimators, S-estimators, or least trimmed squares — so that cointegration relationships and short-run adjustment dynamics are estimated reliably even when the multivariate time series contains outliers, structural breaks, or heavy-tailed innovations.
Apply with EconMindSoonVideoSoon
Read the full method
Members only
Sign inSign in with a free account to read this section.
Sources
- Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657. link ↗
- Lucas, A. (1997). Robustness of the student t based M-estimator. Communications in Statistics — Theory and Methods, 26(5), 1165-1182. link ↗