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st: RE: RE: RE: RE: RE: VEC command and aconstraints option


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: RE: RE: VEC command and aconstraints option
Date   Fri, 27 May 2011 17:12:44 +0200

It does make sense to separate the estimation of the short run dynamics from the cointegration relations. Too long to explain here. And I have to run.

Estimation by OLS of the cointegratiing relations is not to be recommended even in a single equation framework. The resulting estimates are known to be highly biased even for relatively large samples.

Eric

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kevin Amess
Sent: 27 May 2011 16:42
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: RE: RE: RE: VEC command and aconstraints option

Thanks Eric. This will allow me to estimate the structural model I want to estimate.

You wrote: " If this is what you want , then you have to save the ce's with -predict- and use -var- . This is straightforward to implement, but does it make sense to save the ce's after the unrestricted -vec- model given that the presence of some variables in some short-run equations make no economic sense, which is why I want to place restrictions on some coefficients?

I was also wondering if another solution might be to estimate my cointegrating equation by OLS, save the residuals and estimate a structural model using -3sls-. Of course in this case I will not have the range of post estimation commands that -var- provides.

Thanks.


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of DE SOUZA Eric
Sent: 25 May 2011 10:32
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: RE: RE: VEC command and aconstraints option

-vec- does not allow you to omit short run dynamics variables. If this is what you want , then you have to save the ce's with -predict- and use -var- .

If you want to omit a variable from the cointegration relation that is a restriction on the beta matrix.

To continue the example:

var dmp dy ddp dr, lags(1) exog(L.ce3 L.ce4) dfk constraints(11/14)

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 Kevin Amess
Sent: 25 May 2011 10:59
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: RE: VEC command and aconstraints option

Dear Eric,

Thanks for the advice, but I am looking for something a little different. If we take constraint 7, all the variables in equation D_y are omitted. However, I would like to omit just one of the variables in that equation. Is this possible?

Thanks
Kevin.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of DE SOUZA Eric
Sent: 24 May 2011 17:07
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: VEC command and aconstraints option

This is because -aconstraints- puts a restriction on the alpha matrix, whereas your constraint does not concern the alpha matrix.
Here is an example of constraints  in the -vec- command:

* IMPOSE RESTRICTIONS ON BETA
constraint 1 [_ce1]mp = 1
constraint 2 [_ce1]y = -1
constraint 3 [_ce1]dp = [_ce1]r
constraint 4 [_ce1]_trend = 0
constraint 5 [_ce2]mp = 0
constraint 6 [_ce2]y = 1

* IMPOSE CONSTRAINTS ON ALPHA
constraint 7 [D_y]L._ce1 = 0
constraint 8 [D_dp]L._ce1 = 0
constraint 9 [D_r]L._ce1 = 0
constraint 10 [D_mp]L._ce2 = 0

* RESTRICTED VECTOR ERROR CORRECTION MODEL vec mp y dp r, lags(2) rank(2) alpha trend(rtrend) aconstraints(7/10) bconstraints(1/6)


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 Kevin Amess
Sent: 24 May 2011 16:34
To: statalist@hsphsun2.harvard.edu
Subject: st: VEC command and aconstraints option

Hello,

I am having a problem with placing constraints on adjustment parameters in a VECM model.

When I run:
constraint 1 [D_leqlibor]LD.llbovalue_real=0 vec llbovalue_real lgfcf_bi_real lFTSEallshare leqlibor if tin(1979q1,), lags(2) aconstraints(1)

I receive the following error message:
[LD.llbovalue_real] not found
r(111);

Could anyone advise as to what I am doing wrong?

Kevin.

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