Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: cointegration, johans command

From   Combes Stephanie <>
To   "" <>
Subject   st: cointegration, johans command
Date   Wed, 21 Jul 2010 20:43:44 +0200


I'm trying to use the command johans for cointegration but I fail to
understand how to get the estimated cointegrated relations (it is apparently
not given as a non optional output, but I can't find which option would supply
them). I tried to get them next through the vececm command but I couldn't
If someone uses regularly the command, I would be very grateful for your
help. Would you give any piece of advice for the choice of lags?

Bonus question : if cointegration rank is above 2, do I have to check that
both elasticities to long-run equations are negative in my estimated models?
I must confess that I have a hard time interpretating when there is more
than one cointegrated equation.

Thank you by advance for your time and help.
With regards,

*   For searches and help try:

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index