please help me with this question ! could u also provide some
equations if u can! Thank you very much!
Describe the Johansen procedure for estimation of a Vector Error
Correction Model (VECM).

Explanations:

"The vector error correction models (VECM) specify the short-run
dynamics of each variable in the system, and in a framework that
anchors the dynamics to long-run equilibrium relationships suggested
by economic theory. For instance, economic theory suggests that
economic activity across regions should converge. If this convergence
hypothesis is true, we might observe long-run relationships between
employment performance across regions. The existence of such long-run
conditions does not prevent the existence of stationary, though
variable, short-run deviations from them. Phillips (1998) showed that
forecasts based on a vector error correction model that explicitly
estimates co-integrating relationships (if any) and unit roots, are
consistent and asymptotically optimal. Empirically, the literature on
forecasting tends to support the superiority of the VECMs for
longer-horizon forecasting, although this advantage does not seem as
clear for shorter horizons"
http://www11.hrsdc.gc.ca/en/cs/sp/hrsdc/arb/publications/research/1999-001337/page04.shtml


What Drives Stock Prices? Identifying the Determinants of Stock (PDF)
http://www.smu.edu/economics/faculty/full%2520time/nbalke/civvar12.pdf

Pages with equation examples

Vector Error Correction Model
http://support.sas.com/rnd/app/da/new/801ce/ets/chap4/sect5.htm

User's Guide for Johansen's Method (PDF)
http://economics.sbs.ohio-state.edu/ogaki/econ894/doc/user-joh.pdf

Guided Tour on Johansen's Cointegration analysis
http://econ.la.psu.edu/~hbierens/EasyRegTours/COINTJ.HTM


The one above uses EasyReg which can be downloaded here:
http://econ.la.psu.edu/~hbierens/ERIDOWNL.HTM


Dynamic Econometric Models (PDF)
http://www.econ.brown.edu/fac/Sophocles_Mavroeidis/EC164/slides/lect09.pdf


Google Searches

 +"VECM" +"economic" +stock +forecasting

"VECM" +Johansen +Example site:edu

Thanks, 

webadept-ga

thank you very much, it is really good!