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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   08 Apr 2011 12:49:03 +0100

So basically in order to do the F test in VECM, one must impose a restriction on the coefficient on which we like to test and see if it is accepted by the LR test. However, we must be careful about the number of restrictions and the parameters to be estimated. Please correct me if I am wrong. Nat On Apr 8 2011, Charles Koss wrote:

I have run this code:

clear
webuse rdinc
constraint 1 [_ce1]ln_ne = -1
constraint 2 [_ce1]ln_se =  1
vec ln_ne ln_se, bconstrainsts(1/2)

and got error message too: option bconstrainsts() not allowed

Is this the error message that you are refering to?

Charles




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

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