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st: RE: RE: Error Correction Model


From   "Mariano Alvarez" <malvarez@utdt.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Error Correction Model
Date   Wed, 30 Nov 2005 12:18:01 -0300

Dear Al,
Mi intention is to find a command that allow me to run an Error Correction
Model, like E-views. With an ECM I mean a model which the dependent variable
consists of first difference of y, and the RHV consist of lags of the
dependent variable and lags of other variable x (which we believe it´s
cointegrated with y), and a component that consist of the residuals from the
regression of y to x. E-views allows me to specificy the endogenous
variable. I wonder if there is a similar command in Stata that allow me to
run this kind of model. Thanks

Mariano

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of FEIVESON, ALAN H.
(AL) (JSC-SK311) (NASA)
Sent: Miércoles, 30 de Noviembre de 2005 12:02 p.m.
To: 'statalist@hsphsun2.harvard.edu'
Subject: st: RE: Error Correction Model

Mariano - You have to be more specific - what exactly do you mean by an
"error correction model" ?

Al Feiveson 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Mariano Alvarez
Sent: Wednesday, November 30, 2005 8:21 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Error Correction Model

Hi,

Does anyone know how to estimate in Stata an Error Correction Model? I
wonder if there is a Stata command in order to estimate the model. Thanks in
advance,


Mariano


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