Dear list members,
I would like to include an exogenous variable in a Vector Error
Correction Model.
Suppose X, Y, and Z are cointegrated time series variables. However, Z
should be exogenous to X and Y. I would like to specify this to make the
estimates for the X and Y equations more efficient. Does anybody has
done that with Stata and can provide a do-file?
The exog() option available for var does not apply to the vec command.
Thank you very much for your help.
With best regards,
Nikolas
end
Zentrum für Europäische Wirtschaftsforschung GmbH (ZEW) Centre for
European Economic Research L 7, 1 · 68161 Mannheim · Germany Sitz der
Gesellschaft: Mannheim · Amtsgericht Mannheim HRB 6554
Aufsichtsratsvorsitzender: Gerhard Stratthaus MdL, Finanzminister a.D.
Geschaeftsfuehrer: Prof. Dr. Dr. h.c. mult. Wolfgang Franz, Thomas Kohl
------------------------------------------------------------------------
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
