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From |
Jeremy Kronick <jeremykronick@hotmail.com> |

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

Subject |
RE: st: keeping cointegrating parameters |

Date |
Mon, 8 Oct 2012 15:41:54 -0400 |

Thanks Kit. The only issue I'm having with the program is that it doesn't seem to allow me to use any form of options with my "vec" and I have a fair amount. Is there a way to adapt the myvec to allow for options such as lags, rank, and constraints on my A and B matrices? Thanks Jeremy ---------------------------------------- > From: kit.baum@bc.edu > To: 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/ * * 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/

**References**:**Re: st: keeping cointegrating parameters***From:*Christopher Baum <kit.baum@bc.edu>

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