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st: Rolling windows with VEC


From   Maite de Sola <maitedesola@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Rolling windows with VEC
Date   Thu, 9 Dec 2010 16:54:30 +0100

Dear Statalisters,

I am using Stata 10.1 to estimate a VECM. I want to get the estimates
of the coefficients using rolling windows, but when applying the
"rolling" command to the VEC, I do not get the estimates of all the
coefficients, only of some of them. For instance,


rolling _b _se, window(84): vec var1 var2, trend(trend) lags(2)

And I get, in the variables window, the results (called _stat_#)
associated with the coefficients, but I cannot find the estimates of
the coefficients inside the VEC, only those outside (the lags of the
differenced variables and the trend and constant outside the VEC). Is
there any way I can retrieve these estimates? I did not find anything
more specific on rolling windows estimation with VECMs.

Thanks,

Maite

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