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Re: st: F test on VECM

From   Nat Tharnpanich <>
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:

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?


Nat Tharnpanich
Downing College and Department of Land Economy
University of Cambridge

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