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# RE: st: keeping cointegrating parameters

 From Jeremy Kronick To Statalist Subject RE: st: keeping cointegrating parameters Date Mon, 8 Oct 2012 16:10:28 -0400

```Worked great! Thanks!
----------------------------------------
> From: kit.baum@bc.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: re: RE: st: keeping cointegrating parameters
> Date: Mon, 8 Oct 2012 19:56:14 +0000
>
> <>
> Jeremy said
>
> 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?
>
> No problem. Anything a Stata command can do, you can do with the syntax statement.
>
> ------------------------------
> capt prog drop myvec
> program myvec, rclass
> version 12
> syntax varlist(ts) [if] [in] [, *]
> vec `varlist' `if' `in', `options'
> 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,clear
> myvec ln_ne ln_se, lags(3) rank(1)
> 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, lags(3) rank(1)
> list
> tsset end, yearly
> tsline alpha1 alpha2, scheme(s2mono) nodraw name(alpha, replace)
> tsline beta2 beta3, scheme(s2mono) nodraw name(beta, replace)
> graph combine alpha beta
> ----------------------------------
>
> 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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```