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Re: st: RE: Noconst in cointegration relationship in VECM


From   Svein Olav Krakstad <sveinolavkrakstad@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Noconst in cointegration relationship in VECM
Date   Thu, 28 Apr 2011 16:20:44 +0200

It seems that i was not able to be write what i mean clear enough.

My question is almost the same as:
http://www.stata.com/statalist/archive/2011-04/msg00351.html

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

But what I want (which is different) is that I want the constant to be
zero (i.e. dropped in the cointegrating vector).

Below i have copied in my table, where I am saying that lnprice is
zero in the cointegrating vector, but I want the constant to be zero.

        beta |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1         |
     lnprice |  (omitted)
      lnrent |   2.505605   .8862366     2.83   0.005     .7686126    4.242596
        lnAM |  -2.238693   .9118165    -2.46   0.014    -4.025821   -.4515656
       _cons |  -2.000826          .        .       .            .           .

Is that possible?

Best regards,
Svein Olav


2011/4/28 DE SOUZA Eric <eric.de_souza@coleurope.eu>:
> It is not clear to me which case you want:
>  trend(constant) include an unrestricted constant in model; the default
>  trend(rconstant) include a restricted constant in model
>  trend(trend) include a linear trend in the cointegrating equations and a quadratic trend in the undifferenced data
>  trend(rtrend) include a restricted trend in model
>  trend(none) do not include a trend or a constant
> See page 477 of the time series manual for a detailed explanation
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Svein Olav Krakstad
> Sent: 28 April 2011 15:27
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Noconst in cointegration relationship in VECM
>
> 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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