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Re: st: RE: Noconst in cointegration relationship in VECM
From
Svein Olav Krakstad <[email protected]>
To
[email protected]
Subject
Re: st: RE: Noconst in cointegration relationship in VECM
Date
Thu, 28 Apr 2011 16:20:44 +0200
It seems that i was not able to be write what i mean clear enough.
My question is almost the same as:
http://www.stata.com/statalist/archive/2011-04/msg00351.html
constraint 1 [_ce1]ln_ne = -1
constraint 2 [_ce1]ln_se = 1
vec ln_ne ln_se, bconstrainsts(1/2)
But what I want (which is different) is that I want the constant to be
zero (i.e. dropped in the cointegrating vector).
Below i have copied in my table, where I am saying that lnprice is
zero in the cointegrating vector, but I want the constant to be zero.
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1 |
lnprice | (omitted)
lnrent | 2.505605 .8862366 2.83 0.005 .7686126 4.242596
lnAM | -2.238693 .9118165 -2.46 0.014 -4.025821 -.4515656
_cons | -2.000826 . . . . .
Is that possible?
Best regards,
Svein Olav
2011/4/28 DE SOUZA Eric <[email protected]>:
> It is not clear to me which case you want:
> trend(constant) include an unrestricted constant in model; the default
> trend(rconstant) include a restricted constant in model
> trend(trend) include a linear trend in the cointegrating equations and a quadratic trend in the undifferenced data
> trend(rtrend) include a restricted trend in model
> trend(none) do not include a trend or a constant
> See page 477 of the time series manual for a detailed explanation
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Svein Olav Krakstad
> Sent: 28 April 2011 15:27
> To: [email protected]
> Subject: st: Noconst in cointegration relationship in VECM
>
> Hi,
>
> I am trying to have no constant in the cointegration vector in the VEC model.
>
> I know how to have constraints on the variables, but the constant does not work in the same way. For example if I restrict (i.e.) the variable lnrent:
>
> constraint define 1 [_ce1]lnrent=1
>
> vec lnprice lnrent lnAM, rank(1) lags(2) trend(constant) bconstraints(1)
>
> It works fine.
>
> Then I am thinking that it should only be to restrict the constant in the same way:
>
> constraint define 1 [_ce1]_cons=0
>
> vec lnprice lnrent lnAM, rank(1) lags(2) trend(constant) bconstraints(1)
>
> But this do not work.
>
> Could you please help me to figure this out?
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