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From |
Christopher Baum <kit.baum@bc.edu> |

To |
Stéphanie Combes <stephanie.combes@gmail.com> |

Subject |
Re: st: cointegration, johans command |

Date |
Wed, 28 Jul 2010 10:06:09 -0400 |

<> Stephanie, You should be very careful in working with a VECM which contains arbitrary exogenous variables. Quoting from [TS] p. 481: > Johansen (1995, chap. 11) shows that inference about the > number of cointegrating equations is based on nonstandard distributions and that the addition of any > term that generalizes the deterministic specification in (1) changes the asymptotic distributions of the > statistics used for inference on the number of cointegrating equations and the asymptotic distribution > of the ML estimator of the cointegrating equations. In fact, Johansen (1995, 84) notes that including > event indicators causes the statistics used for inference on the number of cointegrating equations to > have asymptotic distributions that must be computed case by case. For this reason, event indicators > may not be specified in the present version of vec. I would rely on Stata's vec if I were you. The vec apparatus contains commands to test for appropriate lag length, dynamic stability, etc., which I do not believe are available in the older user-written software. Kit On Jul 28, 2010, at 9:54 AM, Stéphanie Combes wrote: > I was recommended that command so I kind of thought it had some abilities the command vec didn't have but I'm relatively new at stata so I may have been mistaken. As a matter of fact, with johans and vececm I can add exogeneous variables to my model, something I don't manage to do with vec.. > > 2010/7/28 Christopher Baum <kit.baum@bc.edu> > 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 > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: cointegration, johans command***From:*Christopher Baum <kit.baum@bc.edu>

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