Re: st: VECM model: estandard errors problem

[Charles Koss <hqtiger@gmail.com>]

Thank you Jorge Eduardo for the suggestion. It seems that it is a
feasible alternative. If Stata provides the irf estimate. why not the
standard errors? The software is very close to provide a complete
solution to estimation of VEC models.

Yet, I would like to know if someone has implemented a
function/routine or ado file in Stata for executing the refered task
of obtaining the standard errors of the irfs.

Thanks,

Charles Koss

--
Charles Koss
http://charlesonnet.blogspot.com

2011/3/23 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>:
> The free software JMulTi (http://www.jmulti.de) is well capable of
> dealing with this issue (http://www.jmulti.de/screen_ira.html) and is
> fairly easy to use.
>
> _______________________
> Jorge Eduardo Pérez Pérez
>
>
>
>
> On Wed, Mar 23, 2011 at 5:47 PM, Charles Koss <hqtiger@gmail.com> wrote:
>> For that reason, I am asking for some  ideas on how to solve this
>> issue. The estimate itself is useless to me.  We do need the standard
>> errors for interpreting the results statiscally
>>
>> Charles
>>
>> --
>>
>> On Wed, Mar 23, 2011 at 4:28 PM, Steven Samuels <sjsamuels@gmail.com> wrote:
>>> You are quite right.  The manual states that "After estimation by vec, standard errors are simply not available."
>>>
>>>
>>> Steven Samuels
>>> sjsamuels@gmail.com
>>>
>>> On Mar 23, 2011, at 5:06 PM, Charles Koss wrote:
>>>
>>> Thank you Mr. Samuels for the info. I will be more specific
>>> hereforward. Let's say I run this code:
>>>
>>> //Start code for irfs by vec command
>>> clear
>>> set more off
>>> use http://www.stata-press.com/data/r11/urates
>>> vec missouri indiana kentucky illinois, trend(rconstant) rank(2) lags(4)
>>> irf create vec1, set(vecirfs, replace) step(50)
>>> irf graph irf, impulse(indiana) response(missouri)
>>> //End for irf postestimation command after vec
>>>
>>> I need to obtain the standard errors to build confidence intervals for
>>> the calculated irf's that are displayed in the graph. Stata can
>>> calculate the IRF, unfortunately, it does not provide the standard
>>> errors. Therefore, I do know know whether the estimates are
>>> significantly different from zero or not. Concecuently, my estimates
>>> for the irf are basically uselles since I can not statiscally infer
>>> even at 50% level of significance since I do not have the standard
>>> errors. In conclusion, I would like to know how to get the standard
>>> errors for the irfs.
>>>
>>> thank you,
>>>
>>> Charles
>>>
>>> --
>>> Charles Koss
>>> http://charlesonnet.blogspot.com
>>>
>>>
>>>
>>> On Wed, Mar 23, 2011 at 3:52 PM, Steven Samuels <sjsamuels@gmail.com> wrote:
>>>> I know nothing about this topic, but I don't think anyone expert will believe that "Stata can not do the job" if you don't follow  the guideline 3.3 of the Statalist FAQ and:
>>>>
>>>> "Say exactly what you typed and exactly what Stata typed (or did) in response. N.B. exactly! If you can, reproduce the error with one of Stata's provided datasets or a simple concocted dataset that you include in your posting."
>>>>
>>>> Steve
>>>> sjsamuels@gmail.com
>>>>
>>>>
>>>>        •
>>>> On Mar 23, 2011, at 4:43 PM, Charles Koss wrote:
>>>>
>>>> Dear Stata list members:
>>>>
>>>> Hope you can help with this issue related to the Stata software. I am
>>>> considering it for estimating a VECM model. After estimation, the
>>>> irf's can be estimated, unfortunately, the standard errors are not
>>>> provided even by Stata version 11. Therefore, I simply can not do
>>>> inference and interpretarion of those results. Has someone made a
>>>> routine for solving this problem? If Stata can not do the job
>>>> completely (in reference to VECM models), what software would you
>>>> recommend to buy? and/or What is your recommendation considering that
>>>> I am neither a Statistitian nor a Computer Programmer?
>>>>
>>>> Thank you for the help,
>>>>
>>>> Charles Koss
>>>>
>>>> --
>>>> Charles Koss
>>>> http://charlesonnet.blogspot.com
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>

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