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st: VECM WITH CONSTRAINTS


From   Abubakari Addy <aoaddy@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: VECM WITH CONSTRAINTS
Date   Sun, 28 Mar 2010 10:29:29 -0700 (PDT)

Dear Statalists,

I'm using Stata SE9 to implement VECM with constraints on the cointegrating vector and adjustment parameters. 

The dependent variables are i,r,o and p. The rank is one and Lag is two.

I've identified o as weakly exogenous and would like to proceed to run VECM with constraints on the cointegrating vector and adjustment parameter.

I would be grateful if you would show me how to place the constraints.

Thank you.


Abubakari 


      
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