Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: VECM model: estandard errors problem
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: VECM model: estandard errors problem
Date
Wed, 23 Mar 2011 18:03:46 -0400
The free software JMulTi (http://www.jmulti.de) is well capable of
dealing with this issue (http://www.jmulti.de/screen_ira.html) and is
fairly easy to use.
_______________________
Jorge Eduardo Pérez Pérez
On Wed, Mar 23, 2011 at 5:47 PM, Charles Koss <[email protected]> wrote:
> For that reason, I am asking for some ideas on how to solve this
> issue. The estimate itself is useless to me. We do need the standard
> errors for interpreting the results statiscally
>
> Charles
>
> --
> Charles Koss
> http://charlesonnet.blogspot.com
>
> On Wed, Mar 23, 2011 at 4:28 PM, Steven Samuels <[email protected]> wrote:
>> You are quite right. The manual states that "After estimation by vec, standard errors are simply not available."
>>
>>
>> Steven Samuels
>> [email protected]
>>
>> On Mar 23, 2011, at 5:06 PM, Charles Koss wrote:
>>
>> Thank you Mr. Samuels for the info. I will be more specific
>> hereforward. Let's say I run this code:
>>
>> //Start code for irfs by vec command
>> clear
>> set more off
>> use http://www.stata-press.com/data/r11/urates
>> vec missouri indiana kentucky illinois, trend(rconstant) rank(2) lags(4)
>> irf create vec1, set(vecirfs, replace) step(50)
>> irf graph irf, impulse(indiana) response(missouri)
>> //End for irf postestimation command after vec
>>
>> I need to obtain the standard errors to build confidence intervals for
>> the calculated irf's that are displayed in the graph. Stata can
>> calculate the IRF, unfortunately, it does not provide the standard
>> errors. Therefore, I do know know whether the estimates are
>> significantly different from zero or not. Concecuently, my estimates
>> for the irf are basically uselles since I can not statiscally infer
>> even at 50% level of significance since I do not have the standard
>> errors. In conclusion, I would like to know how to get the standard
>> errors for the irfs.
>>
>> thank you,
>>
>> Charles
>>
>> --
>> Charles Koss
>> http://charlesonnet.blogspot.com
>>
>>
>>
>> On Wed, Mar 23, 2011 at 3:52 PM, Steven Samuels <[email protected]> wrote:
>>> I know nothing about this topic, but I don't think anyone expert will believe that "Stata can not do the job" if you don't follow the guideline 3.3 of the Statalist FAQ and:
>>>
>>> "Say exactly what you typed and exactly what Stata typed (or did) in response. N.B. exactly! If you can, reproduce the error with one of Stata's provided datasets or a simple concocted dataset that you include in your posting."
>>>
>>> Steve
>>> [email protected]
>>>
>>>
>>> •
>>> On Mar 23, 2011, at 4:43 PM, Charles Koss wrote:
>>>
>>> Dear Stata list members:
>>>
>>> Hope you can help with this issue related to the Stata software. I am
>>> considering it for estimating a VECM model. After estimation, the
>>> irf's can be estimated, unfortunately, the standard errors are not
>>> provided even by Stata version 11. Therefore, I simply can not do
>>> inference and interpretarion of those results. Has someone made a
>>> routine for solving this problem? If Stata can not do the job
>>> completely (in reference to VECM models), what software would you
>>> recommend to buy? and/or What is your recommendation considering that
>>> I am neither a Statistitian nor a Computer Programmer?
>>>
>>> Thank you for the help,
>>>
>>> Charles Koss
>>>
>>> --
>>> Charles Koss
>>> http://charlesonnet.blogspot.com
>>> *
>>> * For searches and help try:
>>> * http://www.stata.com/help.cgi?search
>>> * http://www.stata.com/support/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/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/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/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/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/statalist/faq
* http://www.ats.ucla.edu/stat/stata/