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From |
Salima Bouayad Agha <Salima.Bouayad-Agha@univ-lemans.fr> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: cointegration, johans command |

Date |
Sun, 01 Aug 2010 09:57:39 +0200 |

Stéphanie, i totally agree with that comment.

SalimaChristopher Baum <kit.baum@bc.edu> a écrit :

<> Stephanie,You should be very careful in working with a VECM which containsarbitrary exogenous variables. Quoting from [TS] p. 481:Johansen (1995, chap. 11) shows that inference about thenumber of cointegrating equations is based on nonstandarddistributions and that the addition of anyterm that generalizes the deterministic specification in (1)changes the asymptotic distributions of thestatistics used for inference on the number of cointegratingequations and the asymptotic distributionof the ML estimator of the cointegrating equations. In fact,Johansen (1995, 84) notes that includingevent indicators causes the statistics used for inference on thenumber of cointegrating equations tohave asymptotic distributions that must be computed case by case.For this reason, event indicatorsmay not be specified in the present version of vec.I would rely on Stata's vec if I were you. The vec apparatuscontains commands to test for appropriate lag length, dynamicstability, etc., which I do not believe are available in the olderuser-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 someabilities the command vec didn't have but I'm relatively new atstata so I may have been mistaken. As a matter of fact, with johansand vececm I can add exogeneous variables to my model, something Idon'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 isapparently> not given as a non optional output, but I can't find which optionwould 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 myestimated 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-writtencommand, dating from 2003 and dependingon software written for Stata version 5, when official Stata hashad the ability to do Johansen-Juselius tests for cointegrationfor several versions now? KitKit Baum | Boston College Economics & DIW Berlin |http://ideas.repec.org/e/pba1.htmlAn Introduction to Stata Programming| http://www.stata-press.com/books/isp.htmlAn 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.htmlAn Introduction to Stata Programming| http://www.stata-press.com/books/isp.htmlAn 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/

* * 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/

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