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Re: st: VAR in Levels / Johansen Trace test

From   Christopher Baum <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: VAR in Levels / Johansen Trace test
Date   Sat, 6 Nov 2010 09:43:33 -0400

On Nov 6, 2010, at 2:33 AM, Lauricio wrote:

> Second, instead of estimating VECMs, there is the possibility of
> estimating VARs in Levels. Unfortunately I don't know how I have to
> transform my data to get an VAR in levels. Is this a simple log
> linearisation?

Stata's -var- and -vec- commands both work on data in levels. Look at the example for -vec-, in which the levels of the unemployment rate in various states are those in the varlist.

-help vecrank-, which comes up with -findit johansen-, says " The default is to display the trace statistic."

Perhaps you should read through [TS] var and [TS] vec...


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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