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From |
DE SOUZA Eric <eric.de_souza@coleurope.eu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: Noconst in cointegration relationship in VECM |

Date |
Thu, 28 Apr 2011 19:06:36 +0200 |

I realise what you mean now. What Stata does, following the work of Soeren Johansen is to decompose the constant term into two parts. One part makes the equilibrium error equal to zero on average -- this is the constant in the cointegration relation --; the other is what is left over and appears as the constant in the vecm For this reason you cannot set the constant in the cointegration relation equal to zero. What you have there is the result of a decomposition, which is why no standard errror, etc., is produced for it. 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 16:21 To: statalist@hsphsun2.harvard.edu Subject: Re: st: RE: Noconst in cointegration relationship in VECM 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? > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Noconst in cointegration relationship in VECM***From:*Svein Olav Krakstad <sveinolavkrakstad@gmail.com>

**st: RE: Noconst in cointegration relationship in VECM***From:*DE SOUZA Eric <eric.de_souza@coleurope.eu>

**Re: st: RE: Noconst in cointegration relationship in VECM***From:*Svein Olav Krakstad <sveinolavkrakstad@gmail.com>

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