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st: Noconst in cointegration relationship in VECM


From   Svein Olav Krakstad <sveinolavkrakstad@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Noconst in cointegration relationship in VECM
Date   Thu, 28 Apr 2011 15:26:34 +0200

Hi,

I am trying to have no constant in the cointegration vector in the VEC model.

I know how to have constraints on the variables, but the constant does
not work in the same way. For example if I restrict (i.e.) the
variable lnrent:

constraint define 1 [_ce1]lnrent=1

vec lnprice lnrent lnAM, rank(1) lags(2) trend(constant) bconstraints(1)

It works fine.

Then I am thinking that it should only be to restrict the constant in
the same way:

constraint define 1 [_ce1]_cons=0

vec lnprice lnrent lnAM, rank(1) lags(2) trend(constant) bconstraints(1)

But this do not work.

Could you please help me to figure this out?
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