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Re: st: Noconst in cointegration relationship in VECM


From   Charles Koss <hqtiger@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Noconst in cointegration relationship in VECM
Date   Thu, 28 Apr 2011 10:56:55 -0500

VEC command in Stata is still in development, so I am not surprised
this is happening. Comparatively, many features available in open
source software are not available in Stata. You may need to check this
software:  R, gretl, Jmulti,  but most importantly check Rats or
E-views. By far, E-views has become the leading software for time
series analysis.

Take a look at this thread:
http://www.stata.com/statalist/archive/2011-04/msg00347.html

hope it helps,

Charles

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

On Thu, Apr 28, 2011 at 8:26 AM, Svein Olav Krakstad
<sveinolavkrakstad@gmail.com> wrote:
> 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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>

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