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Re: st: cointegration, johans command


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: cointegration, johans command
Date   Wed, 28 Jul 2010 09:40:02 -0400

On Jul 28, 2010, at 2:33 AM, Stephanie wrote:

> 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
> either.
> 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.

Out of curiosity, why would you want to use this user-written command, dating from 2003 and depending 
on software written for Stata version 5, when official Stata has had the ability to do Johansen-Juselius tests for cointegration 
for several versions now?

Kit



Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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