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Re: st: ETA Stata 12.0

From   Neil Shephard <>
Subject   Re: st: ETA Stata 12.0
Date   Thu, 7 Apr 2011 09:39:37 +0100

On Wed, Apr 6, 2011 at 8:17 PM, Charles Koss <> wrote:
> Well well! Since starting to use Stata, I am very impressed how much
> have learnt. Since we always want to purchase better products, I hope
> Stata 12 can produce complete inference for Vector Error Correction
> Models (vec command).
> Currently, Stata 10 and 11 can produce the estimates for the impulse
> response functions but it CAN NOT estimate the corresponding standard
> errors. So, those estimates are useless since WE DO NEED the standard
> errors for interpreting the results STATISTICALLY. I was amazed to
> learn that OPEN SOURCE software can do that job very efficiently. I
> would like to see this feature in STATA 12.
> With this feature, I can convince myself and the administrators that
> the purchase of Stata 12 is worthy, although version 11 is much better
> than 10. If someone has information that contradicts my opinion,
> please do share it.  See:

There is nothing stopping you from programming this yourself as an
ado-file if you're that desperate for it.

The -vec- command is implemented as an ado (see -which vec-) which you
could copy to your local ado-path as vec2.ado and hack away at to get
what you want.

If you succeed it would no doubt be useful to submit -vec2- to the SSC archives.

This is likely how the "open source" software that you refer to
(presumably R) has such functionality.


“Truth in science can be defined as the working hypothesis best suited
to open the way to the next better one.” - Konrad Lorenz

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