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RE: st: RE: VEC: Missing Output Data
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: RE: VEC: Missing Output Data
Date
Thu, 7 Jul 2011 13:48:11 +0200
I thought you were referring to this, which is why I added the "keep in mind" to my reply
Dy = A0 + P1.Dy(t-1) + P.y(t-1) = A0 + P1.Dy(t-1) + A.B.y(t-1)
B is not identified, meaning that P = A*.B* = (A*G).(Ginverse.B*) = A**.B**
P can be decomposed into an infinite number of A's and B's
One identification rule is to set B = [I B2] where I is the unit matrix
Since I is set it is not estimated and, therefore, has no standard errors and the like.
In your output extract below, the column Coef is giving you the first row of B: 1 0 0 0 -.046 .013
The e-15's and e-17's are just zeroes.
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Barbara Engels
Sent: 07 July 2011 13:35
To: [email protected]
Subject: Re: st: RE: VEC: Missing Output Data
The problem I see is for example in this output:
> Identification: beta is exactly identified
> Johansen normalization restrictions imposed
> ------------------------------------------------------------------------------
> beta | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> _ce1 |
> tfp_in | 1 . . . . .
> lnbrd | 6.25e-17 . . . . .
> lnfrd | 5.55e-17 . . . . .
> lllneduexp | -3.33e-16 . . . . .
> llnftl | -.0461967 .0200468 -2.30 0.021 -.0854877 -.0069057
> impshare | .0132646 .0020457 6.48 0.000 .0092551 .0172741
> _cons | -.3241717 . . . . .
Why is there no Std. Err. etc. for lnbrd, lnfrd, ... ?
And still, I don't really know how I could make an ECM out of the VEC results.
Thanks for your help,
Barbara
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