have run VECM model in Stata to estimate the long run and short run relationship among variables. 11 variables and quarterly data from 2001 to 2020 have been used for the study. All the variables are non-stationary at l(0) but stationary at I(1). Lag selection criteria such as SBIC and HQIC has shown Lag 1 and vecrank (Trace and maxi-eigenvalue) command has suggested 4 cointegration equation.
I want to know that can i run vec command with 1 cointegrating equation instead of 4 cointegrating equation ?
I want to know that can i run vec command with 1 cointegrating equation instead of 4 cointegrating equation ?
