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From |
Barbara Engels <engels.ba@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: VEC: Missing Output Data |

Date |
Thu, 7 Jul 2011 14:33:39 +0200 |

Thanks a lot, that clarifies things significantly. El 07.07.2011, a las 13:48, DE SOUZA Eric escribió: > 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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Barbara Engels > Sent: 07 July 2011 13:35 > To: statalist@hsphsun2.harvard.edu > 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 > > > > > * > * 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: VEC: Missing Output Data***From:*Barbara Engels <engels.ba@gmail.com>

**st: RE: VEC: Missing Output Data***From:*DE SOUZA Eric <eric.de_souza@coleurope.eu>

**Re: st: RE: VEC: Missing Output Data***From:*Barbara Engels <engels.ba@gmail.com>

**RE: st: RE: VEC: Missing Output Data***From:*DE SOUZA Eric <eric.de_souza@coleurope.eu>

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