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st: How to include exogenous variables in VECM?


From   "Nikolas Wölfing" <Woelfing@zew.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: How to include exogenous variables in VECM?
Date   Wed, 25 Nov 2009 17:17:22 +0100

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

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