<p>I'm attempting to replicate <a href="http://dx.doi.org/10.1257/pol.1.1.25810.1257/aer.96.4.1293" rel="nofollow">Beaudry &amp; Portier (2006)</a>, and I'm having trouble coding up the long-run restrictions in the VECM model. Specifically I'm having a hard time finding a clear explanation of dealing with the error-correction term when getting MA($\infty$) representation. Any references would help! Most papers just assumes you know how to do it.</p>

CC BY-SA 3.0
2016-02-09T13:51:20.567Z
You want to write your own code? They make available their MATLAB code and the [ReplicationWiki shows there already was a replication](http://replication.uni-goettingen.de/wiki/index.php/Stock_Prices,_News,_and_Economic_Fluctuations_%28AER_2006%29). You can use the discussion pages to bring up any questions you have about it.
Jan Höffler
CC BY-SA 3.0
2016-02-09T16:17:45.457Z
It was for a school project. Fortunately the paper on replicationWiki was a bit more informative than the original paper.
hipHopMetropolisHastings
<econometrics><time-series>
Obtaining Wold Representation of VECM Model
hipHopMetropolisHastings
# Obtaining Wold Representation of VECM Model

(Asked by: username_0 on 2015-12-29)

I'm attempting to replicate [Beaudry & Portier (2006)](http://dx.doi.org/10.1257/pol.1.1.25810.1257/aer.96.4.1293), and I'm having trouble coding up the long-run restrictions in the VECM model. Specifically I'm having a hard time finding a clear explanation of dealing with the error-correction term when getting MA($\infty$) representation. Any references would help! Most papers just assumes you know how to do it.

**Tags:** econometrics, time-series

> **Comments:**
> **username_1**: You want to write your own code? They make available their MATLAB code and the [ReplicationWiki shows there already was a replication](http://replication.uni-goettingen.de/wiki/index.php/Stock_Prices,_News,_and_Economic_Fluctuations_%28AER_2006%29). You can use the discussion pages to bring up any questions you have about it.  
> **username_0**: It was for a school project. Fortunately the paper on replicationWiki was a bit more informative than the original paper.  

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## 0 answers

