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st: VECM: standard errors of IRFS


From   Charles Koss <[email protected]>
To   Stata List <[email protected]>
Subject   st: VECM: standard errors of IRFS
Date   Tue, 15 Mar 2011 08:55:29 -0500

Dear list members:

According to the Stata 11 TS Ref. Manual, after VEC, it can not
calculate the standard errors of the IRFS. I truly need the std.
errors, is there a way to circunvent the problem? I was thinking on
this solution, to estimate a var model in first differences with an
exogeneous variable, the prediction from the cointegration equation
(assuming cointegration rank equals one). From these estimates, get
IRFs with respective standard errors.

Thank you for the help,

Charles

-- 
Charles Koss
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