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Re: st: F test on VECM
From
Nat Tharnpanich <[email protected]>
To
[email protected]
Subject
Re: st: F test on VECM
Date
07 Apr 2011 22:08:21 +0100
Thanks so much Charles. However, I am afraid that this is not what I
wanted. I want to do the F test on the cointegrating vector itself. For
example, based on your online data, I want to test whether the estimated
coefficient of ln_se which takes a value of -0.94 when ln_ne is constrained
to be 1 is statistically different from, say, -1. Do you happen to know how
to do that? Nat
On Apr 7 2011, Charles Koss wrote:
you may try this:
clear
webuse rdinc
vec ln_ne ln_se
test [D_ln_se]L._ce1 == 0
test [reference to the equation name ].{reference to the parameter} == 0
did it work?
Charles
--
Nat Tharnpanich
Downing College and Department of Land Economy
University of Cambridge
CB2 1DQ
[email protected]
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