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st: RE: RE: RE: VEC command and aconstraints option
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: RE: RE: VEC command and aconstraints option
Date
Wed, 25 May 2011 11:32:13 +0200
-vec- does not allow you to omit short run dynamics variables. If this is what you want , then you have to save the ce's with -predict- and use -var- .
If you want to omit a variable from the cointegration relation that is a restriction on the beta matrix.
To continue the example:
var dmp dy ddp dr, lags(1) exog(L.ce3 L.ce4) dfk constraints(11/14)
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Kevin Amess
Sent: 25 May 2011 10:59
To: [email protected]
Subject: st: RE: RE: VEC command and aconstraints option
Dear Eric,
Thanks for the advice, but I am looking for something a little different. If we take constraint 7, all the variables in equation D_y are omitted. However, I would like to omit just one of the variables in that equation. Is this possible?
Thanks
Kevin.
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of DE SOUZA Eric
Sent: 24 May 2011 17:07
To: [email protected]
Subject: st: RE: VEC command and aconstraints option
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:
* IMPOSE RESTRICTIONS ON BETA
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
* IMPOSE CONSTRAINTS ON ALPHA
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
* RESTRICTED VECTOR ERROR CORRECTION MODEL 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
http://www.coleurope.eu
-----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
Hello,
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
r(111);
Could anyone advise as to what I am doing wrong?
Kevin.
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