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Re: st: Remarks and questions on the VEC function


From   Charles Koss <hqtiger@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Remarks and questions on the VEC function
Date   Mon, 2 May 2011 09:11:22 -0500

May be this link can help

http://www.stata.com/statalist/archive/2011-04/msg00326.html



On Fri, Apr 29, 2011 at 5:44 PM, Steve06 <fas@mit.edu> wrote:
> Hi,
> i've tried Stata's VEC command to estimate a vector error correction model
> with one co-integrating equation.
> Here's what I found:
> - all reported significance statistics are Z-statistics, while in published
> empirical work you find t-statistics. I did not find a switch to change it
> but would find it a good idea to have.
> - if you specify a constant, you have it in both the main model and in the
> cointegrating equation. If you specify no constant, it's neither in the main
> model nor in the coint. equation, which is annoying, since you might want to
> have a constant in the coint. equation but not in the main model.
>
> Any suggestions how to overcome these limitations? Are there alternative VEC
> functions by the Stata community? (like Xtabond2 vs Xtabond)
>
> --
> View this message in context: http://statalist.1588530.n2.nabble.com/Remarks-and-questions-on-the-VEC-function-tp6318458p6318458.html
> Sent from the Statalist mailing list archive at Nabble.com.
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