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From |
Talal <talalesm@yahoo.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Interpreting VEC output |

Date |
Tue, 21 Sep 2010 15:35:03 -0700 (PDT) |

Hi, I have tested for a cointegrating relationship and one exists, so I've estimated a VECM with four variables [ ln_qt , ln_VKM , lnincome , Lnf ]. There are enough observations. I'm just wondering how exactly to rewrite the STATA output into equations, in particular the first equation as it is the modelling of demand (Ln_qt) that I am most interested in. So what I want to know is: how do I rewrite the output (see below please) and what is the best approach in interpreting the results for demand (Ln_qt) modelling? Thank you. . vec ln_qt lnvkm lnincome lnf, Vector error-correction model Sample: 1981 - 2008 No. of obs = 28 AIC = -17.34228 Log likelihood = 253.792 HQIC = -17.18228 Det(Sigma_ml) = 1.57e-13 SBIC = -16.81892 Equation Parms RMSE R-sq chi2 P>chi2 D_ln_qt 2 .037116 0.2983 11.05193 0.0040 D_lnvkm 2 .031551 0.1127 3.303018 0.1918 D_lnincome 2 .014566 0.7176 66.06712 0.0000 D_lnf 2 .050123 0.3709 15.32712 0.0005 Coef. Std. Err. z P>z [95% Conf. Interval] D_ln_qt _ce1 L1. -.0866026 .241569 -0.36 0.720 -.5600691 .3868639 _cons -.0244341 .007835 -3.12 0.002 -.0397905 -.0090777 D_lnvkm _ce1 L1. -.3730333 .2053474 -1.82 0.069 -.7755069 .0294403 _cons -.0050647 .0066602 -0.76 0.447 -.0181185 .0079892 D_lnincome _ce1 L1. -.2016308 .0948057 -2.13 0.033 -.3874465 -.015815 _cons .0186817 .0030749 6.08 0.000 .012655 .0247085 D_lnf _ce1 L1. -1.140481 .3262244 -3.50 0.000 -1.779869 -.5010932 _cons .0002092 .0105808 0.02 0.984 -.0205287 .0209471 Cointegrating equations Equation Parms chi2 P>chi2 _ce1 3 4320.164 0.0000 Identification: beta is exactly identified Johansen normalization restriction imposed beta Coef. Std. Err. z P>z [95% Conf. Interval] _ce1 ln_qt 1 . . . . . lnvkm .3143633 .0472589 6.65 0.000 .2217376 .406989 lnincome .3286365 .0542557 6.06 0.000 .2222974 .4349756 lnf .7688382 .0583292 13.18 0.000 .6545151 .8831614 _cons -8.684245 . . . . . * * 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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