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st: RE: Procedures for estimating Error Correction Models?


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Procedures for estimating Error Correction Models?
Date   Mon, 24 May 2004 20:08:57 -0500

Taka,

Typing -findit ecm- brings up


    'VECECM': module to estimate vector error correction models (ECMs) /
       vececm estimates a vector error correction model (ECM) after one
      or more cointegrating vectors have been identified using
      Johansen's maximum-likelihood cointegration rank test (see help
      johans).....


Scott


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Takayuki Sakamoto
Sent: Monday, May 24, 2004 7:45 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Procedures for estimating Error Correction Models?

Hello, all!  This must be a very basic question.

Could anybody kindly tell me if STATA has a procedure for estimating error
correction models, like the Engle/Granger two-step approach or the Johansen
system estimation approach, please?

Thank you for your assistance, in advance!


Taka


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