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st: Estimating cointegrating equations


From   Óscar Becerra <orbecerra@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Estimating cointegrating equations
Date   Mon, 1 Aug 2005 18:36:21 -0500

Hello all,

I am trying to estimate in Stata a VEC model with 4 endogenous
variables, rank 2 and seasonal dummies. When Stata prints the
estimation output, for the cointegrating equations (the beta vector)
it uses the Johansen's normalization. However, I need the values (and
standard errors) of the parameters in the cointegrating relationship;
this is, what I need is other type of factorization of the PI matrix.
When I look for this in the Stata help, it indicates that the
Johansen's normalization is the default if no restrictions on the beta
vector are imposed, but I don't want to impose restrictions on them.
Can you help me with this?

Thanks,

Óscar Becerra
Researcher
CERAC
Centro de Recursos para el Análisis de Conflictos
www.cerac.org.co
Tel/Fax:         (571) 345 85 72

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