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Re: st: RE: VECM: Stata drops variable


From   Barbara Engels <[email protected]>
To   [email protected]
Subject   Re: st: RE: VECM: Stata drops variable
Date   Mon, 11 Jul 2011 10:21:22 +0200

thank you, eric. so I just put a zero in my cointegrating matrix, and that's it. thanks for your patience.

El 11.07.2011, a las 10:17, DE SOUZA Eric escribió:

> For exactly the same reason that I explained in our last exchange. "dropped" means the coefficient is set to zero. See our previous exchange
> 
> 
> 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: 11 July 2011 10:04
> To: [email protected]
> Subject: st: VECM: Stata drops variable
> 
> Dear Statalist,
> 
> estimating a VECM with Stata 10, Stata automatically drops coefficients of variables in the cointegrating equation: 
> (lags 2, rank 2)
> 
> Cointegrating equations
> 
> Equation           Parms    chi2     P>chi2
> -------------------------------------------
> _ce1                  3   57.60437   0.0000
> _ce2                  3   135.9643   0.0000
> -------------------------------------------
> 
> Identification:  beta is exactly identified
>                 Johansen normalization restrictions imposed
> ------------------------------------------------------------------------------
>        beta |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> _ce1         |
>      tfp_in |          1          .        .       .            .           .
>       lnbrd |  (dropped)
>       lnfrd |  -.5602317   .1775941    -3.15   0.002    -.9083096   -.2121538
>  lllneduexp |   .0401034   .4113914     0.10   0.922     -.766209    .8464157
>       lnftl |   -.066383   .0194038    -3.42   0.001    -.1044138   -.0283522
>       _cons |   7.937646          .        .       .            .           .
> -------------+----------------------------------------------------------------
> _ce2         |
>      tfp_in |  (dropped)
>       lnbrd |          1          .        .       .            .           .
>       lnfrd |  -.8801873   .6528244    -1.35   0.178      -2.1597     .399325
>  lllneduexp |  -5.511943   1.512249    -3.64   0.000    -8.475896   -2.547991
>       lnftl |  -.3724166   .0713271    -5.22   0.000    -.5122152   -.2326179
>       _cons |   51.38039          .        .       .            .           .
> ------------------------------------------------------------------------------
> 
> I wonder why. And I also need especially these variables to form part of the cointegrating matrix beta. 
> Any help is highly appreciated.
> Best,
> Barbara
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