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Re: st: F test on VECM


From   Charles Koss <hqtiger@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: F test on VECM
Date   Thu, 7 Apr 2011 17:12:48 -0500

You are welcome. I am disappointed that it was not what you were
looking. Tomorrow, I will be at the office and will see how is done.
In the mean time, try to find how stata names the cointegration
equation. Try (_ce1, CE, or CE1) since I do not remember exactly the
syntax, may be someone with more knowledge can intervene

Charles

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




On Thu, Apr 7, 2011 at 4:08 PM, Nat Tharnpanich <nt289@cam.ac.uk> wrote:
> 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
>
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