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RE: st: RE: VAR or VEC model


From   Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: VAR or VEC model
Date   Tue, 25 Aug 2009 15:28:10 +0100

Thanks Bob.
I will run the -vecrank- command to obtain the number of cointegrating vectors. And I have done a but more reading on the Trace and Max Eigenvalue statistics. I know you get the Trace statistic from the -vecrank- command, from where do I get the Max Eigenvalue statistic?
How then will I obtain the Johansen Cointegrating Coefficients? Are they the ones I get when I run the -vec- command?
 
Kind Regards
Ihtesham
----------------------------------------
> From: bob.yaffee@nyu.edu
> To: statalist@hsphsun2.harvard.edu
> Date: Tue, 25 Aug 2009 09:55:22 -0400
> Subject: Re: RE: st: RE: VAR or VEC model
>
> Ihtesham,
> Read the literature on the Johansen trace and maximum eigenvalue
> tests for vector cointegration. You may wish to run the
>
> vectstable, graph
>
> command to ascertain whether your long-run matrix is of full rank.
>
> Then you want to run the
>
> vecrank
>
> command to apply the Johansen tests
> for cointegrated vectors.
>
> I hope this is of help.
> Cheers,
> Bob
>
>
> Robert A. Yaffee, Ph.D.
> Research Professor
> Silver School of Social Work
> New York University
>
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>
> CV: http://homepages.nyu.edu/~ray1/vita.pdf
>
> ----- Original Message -----
> From: Ihtesham Afzal 
> Date: Tuesday, August 25, 2009 4:01 am
> Subject: RE: st: RE: VAR or VEC model
> To: statalist@hsphsun2.harvard.edu
>
>
>> Thanks you for your reply.
>> But how then do I test for cointegration between the variables in the
>> model? I was made to believe that the only way of finding
>> cointegrating verctors was by doing the -vecrank- and -vec- commands.
>>
>> So do I use the var model and then -vargranger -to test for granger causality
>> and then -vec- and -vecrank- commands to test for cointegration?
>> Kind Regards
>> Ihtesham
>>
>> ----------------------------------------
>>> Date: Tue, 25 Aug 2009 00:51:48 +0100
>>> Subject: Re: st: RE: VAR or VEC model
>>> From: clivelists@googlemail.com
>>> To: statalist@hsphsun2.harvard.edu
>>>
>>> Ihtesham Afzal wrote:
>>>
>>>> Thank you for your reply.
>>>> All of the variables are integrated of the same order (i.e I(1))
>>>> How do I run the granger causality test? Do I run the regression of
>> one variable on the other with appropriate lags and then do an f-test
>> to test whether these lags of the indepndent variable are equal to
>> zero? And what command tdo I use to see what lag length to use -> I
>> used -varsoc- is that right?
>>>> And then do this separately for all variables?
>>>
>>> -help vargranger-
>>>
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>>> Clive Nicholas
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