VEC (Vector Error Correction) models

MarilynWheatley

I have a customer that is looking for Vector Error Correction (VEC) models in JMP. I could not find any explicit mention of VEC or error correction models (ECM) in the documentation or the JMP community. Is it possible to fit this type of model in JMP, or is this a wish list item?

jiancao

A Vector Error Correction model is a multivariate, stochastic time series model. JMP does not have or can be worked around with existing platforms. What JMP has is the analysis and forecasting of a single time series, but not multiple ones that are contemporaneously correlated.