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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   Tue, 9 Oct 2012 17:31:12 -0400

I actually have a follow-up question related to this work.
I'd like to add some exogenous dummy variables (not seasonal ones) to the VECM but I see that this is not one of the options like it is in a VAR.  
Juselius(2007) has shown mathematically the treatment for this case where the dummy variable is not in the delta_y left hand side but does make it into the cointegrating vector on the RHS.  There are definitely distribution issues to consider, where the critical value to be used in the rank decision will have to be calculated.  However, exogenous variables are an important part of VECM calculations.
So with all that being said my question is has an ado file been written that goes through the treatment of exogenous variables in a VECM setting?
Thanks,
Jeremy
 
----------------------------------------
> 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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