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st: DOLS Estimator and VEC Beta estimate


From   "kknight09" <kknight09@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: DOLS Estimator and VEC Beta estimate
Date   Sun, 21 Mar 2010 00:55:31 +0400

Dear Statalisters

My question pertains to the DOLS Procedure.

I need to find the relationship between variables (for a time series
analysis), which are of a causal nature.
I have worked on a VECM, since my variables are I(1) and I also have
cointegrating relationships.
I had no problem in estimating the short run causality using the Wald Test
(via the -test- command).

The long run causality is giving me a harsh time.
I came across the DOLS procedure and a command -ivreg2- (I own Stata9).
While using -ivreg2-, I get the coefficient and the p-value for z.
The coefficient seemingly relates the long run relationship of the
independent variables towards the dependent one.
But does the beta coefficient from the -vec- estimation give the long run
relationship as well?

If this is the case, I am getting two different results. All of my
variables' beta estimate from the VEC are significant, while this is not the
case with the DOLS estimator. Is this normal?
Could anyone please give me an example of how to use the -ivreg2- command
and a possible interpretation of the result, had I wrongly interpreted
mine??

By each time changing the dependent variable, can the coefficient be used to
relate causality(long run) between the different variables?

Could anyone please help me out. It's really urgent...
Thank you very much

Looking forward to hear from you soon...

Kind Regards
Ken


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