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st: Testing for weak exogeneity - aconstraints in vec


From   Majed Dodin <mdodin@mail.uni-mannheim.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Testing for weak exogeneity - aconstraints in vec
Date   Wed, 8 Aug 2012 11:05:32 +0200

Hi all,

I am using the -vec- command to estimate a VECM with 4 variables and I =
am trying to test for weak exogeneity of a variable (US3M in the =
mini-example).

At the moment I am using:

constraint  1  [D_US3M]L._ce1 =3D 0
constraint  2  [D_US3M]L._ce2 =3D 0
constraint  3  [D_US3M]L._ce3 =3D 0

vec US10Y US3M EU10Y EU3M if tin(1985m1,2010m12) , trend(rconstant) =
rank(3) lags(4) dforce noetable aconstraints(1/3)

The code works but gives implausible results. Am I missing something =
obvious here?

Thank you for your help and suggestions.
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