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st: RE: VEC command and aconstraints option

From   DE SOUZA Eric <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: RE: VEC command and aconstraints option
Date   Tue, 24 May 2011 18:06:39 +0200

This is because -aconstraints- puts a restriction on the alpha matrix, whereas your constraint does not concern the alpha matrix.
Here is an example of constraints  in the -vec- command:

constraint 1 [_ce1]mp = 1
constraint 2 [_ce1]y = -1
constraint 3 [_ce1]dp = [_ce1]r
constraint 4 [_ce1]_trend = 0
constraint 5 [_ce2]mp = 0
constraint 6 [_ce2]y = 1

constraint 7 [D_y]L._ce1 = 0
constraint 8 [D_dp]L._ce1 = 0
constraint 9 [D_r]L._ce1 = 0
constraint 10 [D_mp]L._ce2 = 0

vec mp y dp r, lags(2) rank(2) alpha trend(rtrend) aconstraints(7/10) bconstraints(1/6)

Eric de Souza
College of Europe
Brugge (Bruges), Belgium

-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Kevin Amess
Sent: 24 May 2011 16:34
To: [email protected]
Subject: st: VEC command and aconstraints option


I am having a problem with placing constraints on adjustment parameters in a VECM model.

When I run:
constraint 1 [D_leqlibor]LD.llbovalue_real=0 vec llbovalue_real lgfcf_bi_real lFTSEallshare leqlibor if tin(1979q1,), lags(2) aconstraints(1)

I receive the following error message:
[LD.llbovalue_real] not found

Could anyone advise as to what I am doing wrong?


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