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Re: st: VAR in Levels / Johansen Trace test
From
Lauricio Baletti <[email protected]>
To
[email protected]
Subject
Re: st: VAR in Levels / Johansen Trace test
Date
Mon, 8 Nov 2010 16:27:39 +0100
Dear Mr Baum,
thanks a lot for your reply. Unfortunately there is a structural break
in the data. Therefore I need to run Sakkonens and Lütkepohls
Cointegration Test. Does it work with Stata?
Best regards
Lauricio
2010/11/6 Christopher Baum <[email protected]>:
> <>
> On Nov 6, 2010, at 2:33 AM, Lauricio wrote:
>
>> Second, instead of estimating VECMs, there is the possibility of
>> estimating VARs in Levels. Unfortunately I don't know how I have to
>> transform my data to get an VAR in levels. Is this a simple log
>> linearisation?
>
> Stata's -var- and -vec- commands both work on data in levels. Look at the example for -vec-, in which the levels of the unemployment rate in various states are those in the varlist.
>
> -help vecrank-, which comes up with -findit johansen-, says " The default is to display the trace statistic."
>
> Perhaps you should read through [TS] var and [TS] vec...
>
> 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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