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From |
Christopher Baum <kit.baum@bc.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: keeping cointegrating parameters |

Date |
Mon, 8 Oct 2012 17:58:56 +0000 |

<> Jeremy said I am running a rolling vector error correction model and want to evaluate the stability of the adjustment parameters (alpha) and the cointegrating parameters (beta). The issue though is that when I use: "rolling, recursive window(10): vec cpiINF lendingrate borrowingrate l_capital l_production l_loans, lags(5) rank(2) alpha bconstraints(1/5) aconstraints(6/9) nolog", the only variables that are left are all the short term variables. Is there a way to tell Stata to keep the alpha and beta parameters that are stored in the results from a typical "vec"? With "vec" they are stored as e(alpha), e(beta) respectively. The complication here is that e(alpha) and e(beta) are matrices. The exp_list supported by -rolling- can only contain scalars, but can contain any number of them. You need a "wrapper program" strategy similar to that of -myregress- in itsp.ado (findit myregress), as discussed in ITSP (Baum, 2009). Here is a quick and dirty hack of -myregress-: ----------------------------- capt prog drop myvec program myvec, rclass version 12 syntax varlist(ts) [if] [in] vec `varlist' `if' `in' mat alpha = e(alpha) loc nc = colsof(alpha) forv i=1/`nc' { ret sca alpha`i' = alpha[1,`i'] } mat beta = e(beta) loc nc = colsof(beta) forv i=1/`nc' { ret sca beta`i' = beta[1,`i'] } end webuse rdinc // test the program to see if it sends back the right stuff myvec ln_ne ln_se ret li rolling alpha1=r(alpha1) alpha2=r(alpha2) beta1=r(beta1) beta2=r(beta2) beta3=r(beta3), /// recursive window(10): myvec ln_ne ln_se list --------------------- Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: keeping cointegrating parameters***From:*Jeremy Kronick <jeremykronick@hotmail.com>

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