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RE: st: keeping cointegrating parameters


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
>
>
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