Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: F test on VECM


From   Nat Tharnpanich <nt289@cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: F test on VECM
Date   07 Apr 2011 22:08:21 +0100

Thanks so much Charles. However, I am afraid that this is not what I wanted. I want to do the F test on the cointegrating vector itself. For example, based on your online data, I want to test whether the estimated coefficient of ln_se which takes a value of -0.94 when ln_ne is constrained to be 1 is statistically different from, say, -1. Do you happen to know how to do that? Nat

On Apr 7 2011, Charles Koss wrote:

you may try this:

clear
webuse rdinc
vec ln_ne ln_se
test [D_ln_se]L._ce1 == 0

test [reference to the equation name ].{reference to the parameter} == 0

did it work?

Charles



--
Nat Tharnpanich
Downing College and Department of Land Economy
University of Cambridge
CB2 1DQ
nt289@cam.ac.uk

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index