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How to do Vecm in Excel

The Vector Error Correction Model (VECM) is an econometric model used to analyze cointegrated time series data. It extends the Error Correction Model (ECM) to multiple variables, enabling you to capture both short-term dynamics and long-term relationships among several non-stationary time series. VECM is widely utilized in econometrics, especially when dealing with non-stationary data that share a long-term equilibrium relationship.

Implementing a VECM in Excel is challenging due to the advanced statistical computations required, such as conducting Johansen’s cointegration test, estimating cointegration vectors, and constructing error correction terms. Specialized statistical software like R, EViews, or Stata is typically preferred for these tasks because they offer built-in functions that handle complex calculations efficiently.

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How to make Kpss test in Excel

The KPSS (Kwiatkowski-Phillips-Schmidt-Shin) test is a statistical test used to check for the stationarity of a time series around a deterministic trend. Unlike the Augmented Dickey-Fuller (ADF) test, which tests for unit roots, the KPSS test assumes that the series is stationary around a trend and tests against the null hypothesis of stationarity. Conducting a KPSS test in Excel requires a series of steps, as Excel does not have a built-in function for this specific test. However, you can perform the test by manually calculating the necessary statistics or using Excel’s capabilities for statistical analysis with some setup.

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