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st: RE: failed to obtain impulse-response functions after vecm


From   "Gustavo Sanchez" <gsanchez@stata.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: failed to obtain impulse-response functions after vecm
Date   Fri, 1 Apr 2005 10:19:39 -0600

On Thursday chen jie [uuphd2002@yahoo.com.cn] asked:

>I attempted to obtain impluse-response functions after
>estimating VECM. But everytime I was told "no irf file
>active".

>. vec lnx lny lnz, lag(6) trend(n)

>output...... fine

>. irf create results
>no irf file active
>r(111);

>I have tried many different ways but still failed.
>Really totally confused, what is the reason??

>Thanks for any hint!


See the following example:

.   clear
.   webuse urates
.   vec missouri indiana kentucky illinois, trend(rconstant) rank(2) ///
>                        lags(4) noetable

Vector error-correction model

Sample:  1978m5  2003m12                         No. of obs      =       308
                                                 AIC             = -2.306048
Log likelihood =  417.1314                       HQIC            = -2.005818
Det(Sigma_ml)  =  7.83e-07                       SBIC            = -1.555184

Cointegrating equations
Equation           Parms    chi2     P>chi2
-------------------------------------------
_ce1                  2   133.3885   0.0000
_ce2                  2   195.6324   0.0000
-------------------------------------------

Identification:  beta is exactly identified
                 Johansen normalization restrictions imposed
----------------------------------------------------------------------------
        beta |     Coef.   Std. Err.     z    P>|z|     [95% Conf. Interval]
-------------+--------------------------------------------------------------
_ce1         |
    missouri |         1          .      .       .            .           .
     indiana | (dropped)
    kentucky |  .3493902   .2005537    1.74   0.081    -.0436879    .7424683
    illinois | -1.135152   .2069063   -5.49   0.000    -1.540681   -.7296235
       _cons | -.3880707   .4974323   -0.78   0.435     -1.36302    .5868787
-------------+--------------------------------------------------------------
_ce2         |
    missouri | -1.11e-16          .       .       .            .           .
     indiana |         1          .       .       .            .           .
    kentucky |  .2059473   .2718678    0.76   0.449    -.3269038    .7387985
    illinois |  -1.51962   .2804792   -5.42   0.000    -2.069349   -.9698907
       _cons |   2.92857   .6743122    4.34   0.000     1.606942    4.250197
----------------------------------------------------------------------------

.  irf create vec1, set(vecirfs) step(50)
(file vecirfs.irf created)
(file vecirfs.irf now active)
(file vecirfs.irf updated)

.  irf graph oirf, impulse(indiana) response(missouri)

The last instruction produces the impulse response graph


Sincerely,

Gustavo Sanchez
gas@Stata.com


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