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# st: RE: VEC: Missing Output Data

 From DE SOUZA Eric To "statalist@hsphsun2.harvard.edu" Subject st: RE: VEC: Missing Output Data Date Thu, 7 Jul 2011 13:24:27 +0200

```Could you be more precise concerning where exactly there is a problem in your output because I don't see any? Keep in mind that the beta matrix is not identified unless you specify identification restrictions. Therefore,  in order to estimate alpha and beta Stata imposes the Johansen normalization restrictions.  In symbols, B =[I B2], where B is 4 x 6 in your case, I is 4 x 4 and B2  is 4 x2.

Eric

Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Barbara Engels
Sent: 07 July 2011 12:05
To: statalist@hsphsun2.harvard.edu
Subject: st: VEC: Missing Output Data

Dear Statalist,

using Stata 10 I tried to estimate a VEC.
First, I estimated a VAR, then used VARSOC to estimate the optimal lag. Then I tried to determine the rank of cointegration with vecrank, lags(optimal lag according to varsoc) which yielded an optimal rank of 4. Then I tried to estimate the vec with the option rank(4). I do not really understand the output - it lacks values in the cointegrating equations and automatically drops a variable. I would appreciate it very much if somebody could have a look. How would my ECM look like?

This is the output from the VAR to the VEC:

. var tfp_in lnbrd lnfrd lllneduexp llnftl impshare

Vector autoregression

Sample:  1984 - 2009                               No. of obs      =        26
Log likelihood =  225.8472                         AIC             = -11.37286
FPE            =  8.37e-13                         HQIC            = -10.28601
Det(Sigma_ml)  =  1.15e-15                         SBIC            = -7.598575

Equation           Parms      RMSE     R-sq      chi2     P>chi2
----------------------------------------------------------------
tfp_in               13     .025724   0.9532   529.0289   0.0000
lnbrd                13     .011816   0.9997   101844.4   0.0000
lnfrd                13     .099427   0.8283   125.4121   0.0000
lllneduexp           13     .011501   0.9878   2097.597   0.0000
llnftl               13     .753122   0.7185   66.35811   0.0000
impshare             13     3.57439   0.8761   183.8664   0.0000
----------------------------------------------------------------
------------------------------------------------------------------------------
|      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
tfp_in       |
tfp_in |
L1. |     .65481   .2163306     3.03   0.002     .2308098     1.07881
L2. |  -.2362683   .1910051    -1.24   0.216    -.6106314    .1380948
lnbrd |
L1. |   .0440824   .2533383     0.17   0.862    -.4524516    .5406163
L2. |   .0657006   .2519613     0.26   0.794    -.4281344    .5595357
lnfrd |
L1. |   .0336617   .0512979     0.66   0.512    -.0668804    .1342037
L2. |  -.0451263   .0580456    -0.78   0.437    -.1588936    .0686409
lllneduexp |
L1. |  -.6819817   .3510674    -1.94   0.052    -1.370061    .0060979
L2. |  -.0334756   .4254052    -0.08   0.937    -.8672544    .8003033
llnftl |
L1. |  -.0028725   .0064259    -0.45   0.655    -.0154671    .0097221
L2. |   .0069503   .0065758     1.06   0.291     -.005938    .0198386
impshare |
L1. |  -.0005763    .001654    -0.35   0.728    -.0038181    .0026655
L2. |  -.0040963    .001606    -2.55   0.011    -.0072441   -.0009485
_cons |   5.334034    2.52423     2.11   0.035     .3866338    10.28143
-------------+----------------------------------------------------------------
lnbrd        |
tfp_in |
L1. |   .0924973    .099366     0.93   0.352    -.1022566    .2872511
L2. |   .1548926   .0877334     1.77   0.077    -.0170618     .326847
lnbrd |
L1. |   1.381761   .1163646    11.87   0.000     1.153691    1.609832
L2. |  -.4635239   .1157321    -4.01   0.000    -.6903547   -.2366931
lnfrd |
L1. |   .0493005   .0235624     2.09   0.036     .0031191     .095482
L2. |  -.0384771   .0266618    -1.44   0.149    -.0907332     .013779
lllneduexp |
L1. |   .3975376   .1612541     2.47   0.014     .0814854    .7135897
L2. |   .2921301   .1953992     1.50   0.135    -.0908454    .6751056
llnftl |
L1. |  -.0038576   .0029516    -1.31   0.191    -.0096426    .0019274
L2. |  -.0000343   .0030204    -0.01   0.991    -.0059542    .0058856
impshare |
L1. |   .0028117   .0007597     3.70   0.000     .0013227    .0043008
L2. |   .0013202   .0007377     1.79   0.074    -.0001256    .0027661
_cons |  -5.365771   1.159442    -4.63   0.000    -7.638236   -3.093306
-------------+----------------------------------------------------------------
lnfrd        |
tfp_in |
L1. |    .331179     .83615     0.40   0.692    -1.307645    1.970003
L2. |   .3559132   .7382633     0.48   0.630    -1.091056    1.802883
lnbrd |
L1. |  -.6751184   .9791905    -0.69   0.491    -2.594297     1.24406
L2. |   .5778664    .973868     0.59   0.553     -1.33088    2.486613
lnfrd |
L1. |    .084372   .1982741     0.43   0.670    -.3042381    .4729821
L2. |   .1093997   .2243549     0.49   0.626    -.3303278    .5491271
lllneduexp |
L1. |   .5817196   1.356928     0.43   0.668    -2.077811     3.24125
L2. |   .6632462   1.644255     0.40   0.687    -2.559434    3.885926
llnftl |
L1. |  -.0247996   .0248372    -1.00   0.318    -.0734796    .0238804
L2. |  -.0124169   .0254164    -0.49   0.625    -.0622322    .0373983
impshare |
L1. |  -.0008185    .006393    -0.13   0.898    -.0133486    .0117116
L2. |  -.0039797   .0062076    -0.64   0.521    -.0161464    .0081869
_cons |   2.003561   9.756528     0.21   0.837    -17.11888      21.126
-------------+----------------------------------------------------------------
lllneduexp   |
tfp_in |
L1. |  -.2840046    .096718    -2.94   0.003    -.4735684   -.0944407
L2. |   .4418154   .0853954     5.17   0.000     .2744435    .6091873
lnbrd |
L1. |   .1886278   .1132636     1.67   0.096    -.0333648    .4106204
L2. |  -.1852099    .112648    -1.64   0.100    -.4059959     .035576
lnfrd |
L1. |  -.0517556   .0229345    -2.26   0.024    -.0967064   -.0068048
L2. |   .0145555   .0259513     0.56   0.575    -.0363081     .065419
lllneduexp |
L1. |   1.402855   .1569568     8.94   0.000     1.095225    1.710484
L2. |   -.448848    .190192    -2.36   0.018    -.8216176   -.0760785
llnftl |
L1. |  -.0100522   .0028729    -3.50   0.000     -.015683   -.0044214
L2. |   .0044507   .0029399     1.51   0.130    -.0013115    .0102128
impshare |
L1. |   .0010691   .0007395     1.45   0.148    -.0003803    .0025184
L2. |  -.0000456    .000718    -0.06   0.949    -.0014529    .0013618
_cons |   .8822863   1.128544     0.78   0.434    -1.329619    3.094192
-------------+----------------------------------------------------------------
llnftl       |
tfp_in |
L1. |  -5.539901   6.333509    -0.87   0.382    -17.95335    6.873547
L2. |  -12.22055   5.592055    -2.19   0.029    -23.18078   -1.260325
lnbrd |
L1. |  -3.867342   7.416984    -0.52   0.602    -18.40436    10.66968
L2. |   9.024804   7.376668     1.22   0.221      -5.4332    23.48281
lnfrd |
L1. |   2.302315   1.501849     1.53   0.125    -.6412535    5.245885
L2. |   5.007128     1.6994     2.95   0.003     1.676365    8.337891
lllneduexp |
L1. |  -3.803325    10.2782    -0.37   0.711    -23.94822    16.34157
L2. |  -20.59904   12.45458    -1.65   0.098    -45.00958    3.811496
llnftl |
L1. |   .0984467   .1881319     0.52   0.601    -.2702851    .4671784
L2. |   -.308153   .1925193    -1.60   0.109    -.6854838    .0691779
impshare |
L1. |  -.0254903   .0484247    -0.53   0.599     -.120401    .0694204
L2. |   .0920423     .04702     1.96   0.050    -.0001153    .1841999
_cons |   56.59956   73.90187     0.77   0.444    -88.24544    201.4446
-------------+----------------------------------------------------------------
impshare     |
tfp_in |
L1. |     -39.64   30.05944    -1.32   0.187    -98.55542    19.27542
L2. |  -28.55406   26.54043    -1.08   0.282    -80.57234    23.46423
lnbrd |
L1. |  -117.5115   35.20172    -3.34   0.001    -186.5056   -48.51741
L2. |   122.4382   35.01037     3.50   0.000     53.81914    191.0573
lnfrd |
L1. |   12.43958   7.127917     1.75   0.081    -1.530877    26.41004
L2. |   11.20726   8.065516     1.39   0.165    -4.600855    27.01538
lllneduexp |
L1. |  -192.0773   48.78132    -3.94   0.000     -287.687   -96.46772
L2. |   129.7197   59.11065     2.19   0.028     13.86497    245.5745
llnftl |
L1. |   .2514531    .892892     0.28   0.778    -1.498583    2.001489
L2. |  -1.482199    .913715    -1.62   0.105    -3.273048    .3086493
impshare |
L1. |   .0329463   .2298284     0.14   0.886     -.417509    .4834016
L2. |   .3255006   .2231616     1.46   0.145    -.1118881    .7628893
_cons |   196.4616   350.7454     0.56   0.575    -490.9867    883.9099
------------------------------------------------------------------------------

. varsoc

Selection-order criteria
Sample:  1984 - 2009                         Number of obs      =        26
+---------------------------------------------------------------------------+
|lag |    LL      LR      df    p      FPE       AIC      HQIC      SBIC    |
|----+----------------------------------------------------------------------|
|  0 |   8.4835                      3.3e-08  -.191038  -.107434   .099292  |
|  1 |  162.371  307.78   36  0.000  4.2e-12  -9.25934  -8.67411  -7.22703  |
|  2 |  225.847  126.95*  36  0.000  8.4e-13* -11.3729*  -10.286* -7.59858* |
+---------------------------------------------------------------------------+
Endogenous:  tfp_in lnbrd lnfrd lllneduexp llnftl impshare
Exogenous:  _cons

. vecrank tfp_in lnbrd lnfrd lllneduexp llnftl impshare, lags(2)

Johansen tests for cointegration
Trend: constant                                         Number of obs =      26
Sample:  1984 - 2009                                             Lags =       2
-------------------------------------------------------------------------------
5%
maximum                                      trace    critical
rank    parms       LL       eigenvalue  statistic    value
0      42      154.06063           .    143.5732    94.15
1      53      180.39351     0.86809     90.9075    68.52
2      62      196.23128     0.70426     59.2319    47.21
3      69      208.44712     0.60925     34.8002    29.68
4      74      218.22579     0.52867     15.2429*   15.41
5      77      223.79015     0.34821      4.1142     3.76
6      78      225.84724     0.14635
-------------------------------------------------------------------------------

.  vec tfp_in lnbrd lnfrd lllneduexp llnftl impshare, rank(4)

Vector error-correction model

Sample:  1984 - 2009                               No. of obs      =        26
AIC             = -11.09429
Log likelihood =  218.2258                         HQIC            = -10.06317
Det(Sigma_ml)  =  2.06e-15                         SBIC            = -7.513555

Equation           Parms      RMSE     R-sq      chi2     P>chi2
----------------------------------------------------------------
D_tfp_in             11     .027817   0.5453   16.78786   0.1143
D_lnbrd              11      .01154   0.9852   931.3983   0.0000
D_lnfrd              11     .103193   0.4347   10.76498   0.4632
D_lllneduexp         11     .010754   0.8209   64.18541   0.0000
D_llnftl             11     .718578   0.6251   23.34033   0.0158
D_impshare           11     3.50918   0.6095   21.84974   0.0256
----------------------------------------------------------------
------------------------------------------------------------------------------
|      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
D_tfp_in     |
_ce1 |
L1. |   -.404082   .3392366    -1.19   0.234    -1.068974    .2608095
_ce2 |
L1. |   .0741768   .0860261     0.86   0.389    -.0944312    .2427849
_ce3 |
L1. |  -.0036027   .0887462    -0.04   0.968     -.177542    .1703366
_ce4 |
L1. |   -.578924   .5838856    -0.99   0.321    -1.723319    .5654707
tfp_in |
LD. |   .2646755   .3011667     0.88   0.379    -.3256005    .8549514
lnbrd |
LD. |  -.0193311   .3980992    -0.05   0.961    -.7995912     .760929
lnfrd |
LD. |   .0527215   .0880581     0.60   0.549    -.1198692    .2253122
lllneduexp |
LD. |  -.1928076   .6511809    -0.30   0.767    -1.469099    1.083483
llnftl |
LD. |  -.0088065    .009419    -0.93   0.350    -.0272675    .0096544
impshare |
LD. |   .0037426   .0024976     1.50   0.134    -.0011526    .0086379
_cons |   .0145784   .0217411     0.67   0.503    -.0280335    .0571902
-------------+----------------------------------------------------------------
D_lnbrd      |
_ce1 |
L1. |   .2926754   .1407311     2.08   0.038     .0168475    .5685033
_ce2 |
L1. |  -.0912485   .0356876    -2.56   0.011     -.161195   -.0213021
_ce3 |
L1. |   .0136096    .036816     0.37   0.712    -.0585486    .0857677
_ce4 |
L1. |   .7250033   .2422229     2.99   0.003     .2502552    1.199751
tfp_in |
LD. |  -.1482333    .124938    -1.19   0.235    -.3931073    .0966406
lnbrd |
LD. |   .4749307   .1651501     2.88   0.004     .1512426    .7986189
lnfrd |
LD. |   .0399518   .0365306     1.09   0.274    -.0316468    .1115505
lllneduexp |
LD. |  -.3497758   .2701401    -1.29   0.195    -.8792408    .1796891
llnftl |
LD. |  -.0004892   .0039074    -0.13   0.900    -.0081476    .0071693
impshare |
LD. |   -.001414   .0010361    -1.36   0.172    -.0034448    .0006167
_cons |   .0139538   .0090192     1.55   0.122    -.0037235    .0316312
-------------+----------------------------------------------------------------
D_lnfrd      |
_ce1 |
L1. |   1.525291   1.258464     1.21   0.226    -.9412534    3.991835
_ce2 |
L1. |  -.4015444   .3191305    -1.26   0.208    -1.027029    .2239398
_ce3 |
L1. |  -.5009449   .3292212    -1.52   0.128    -1.146207    .1443169
_ce4 |
L1. |   2.054606   2.166037     0.95   0.343    -2.190748     6.29996
tfp_in |
LD. |  -.4259063   1.117236    -0.38   0.703    -2.615649    1.763837
lnbrd |
LD. |  -.5073326   1.476826    -0.34   0.731    -3.401859    2.387194
lnfrd |
LD. |  -.2333727   .3266686    -0.71   0.475    -.8736314    .4068861
lllneduexp |
LD. |  -1.689169   2.415682    -0.70   0.484    -6.423819     3.04548
llnftl |
LD. |  -.0134149   .0349416    -0.38   0.701    -.0818992    .0550694
impshare |
LD. |    .001095   .0092654     0.12   0.906    -.0170648    .0192549
_cons |  -.0004642    .080653    -0.01   0.995    -.1585411    .1576128
-------------+----------------------------------------------------------------
D_lllneduexp |
_ce1 |
L1. |   .1712183    .131153     1.31   0.192    -.0858368    .4282735
_ce2 |
L1. |  -.0027881   .0332587    -0.08   0.933    -.0679741    .0623978
_ce3 |
L1. |  -.0296783   .0343104    -0.86   0.387    -.0969254    .0375687
_ce4 |
L1. |  -.0314244   .2257373    -0.14   0.889    -.4738614    .4110125
tfp_in |
LD. |  -.4449448   .1164347    -3.82   0.000    -.6731527   -.2167369
lnbrd |
LD. |   .1848759     .15391     1.20   0.230    -.1167821     .486534
lnfrd |
LD. |  -.0181117   .0340443    -0.53   0.595    -.0848374     .048614
lllneduexp |
LD. |   .4328647   .2517545     1.72   0.086     -.060565    .9262944
llnftl |
LD. |  -.0050318   .0036415    -1.38   0.167     -.012169    .0021054
impshare |
LD. |  -.0000125   .0009656    -0.01   0.990    -.0019051      .00188
_cons |   .0155602   .0084054     1.85   0.064     -.000914    .0320345
-------------+----------------------------------------------------------------
D_llnftl     |
_ce1 |
L1. |  -17.10798   8.763211    -1.95   0.051    -34.28356    .0675961
_ce2 |
L1. |   4.579395   2.222239     2.06   0.039     .2238872    8.934903
_ce3 |
L1. |   8.219607   2.292505     3.59   0.000      3.72638    12.71283
_ce4 |
L1. |  -23.35966   15.08302    -1.55   0.121    -52.92184    6.202517
tfp_in |
LD. |   11.65381   7.779785     1.50   0.134    -3.594283    26.90191
lnbrd |
LD. |  -9.342583   10.28376    -0.91   0.364    -29.49838    10.81321
lnfrd |
LD. |  -5.504601    2.27473    -2.42   0.016     -9.96299   -1.046212
lllneduexp |
LD. |   19.90926    16.8214     1.18   0.237    -13.06008    52.87861
llnftl |
LD. |   .2452549   .2433131     1.01   0.313      -.23163    .7221399
impshare |
LD. |  -.0973313   .0645189    -1.51   0.131    -.2237859    .0291234
_cons |   .0000127   .5616204     0.00   1.000    -1.100743    1.100769
-------------+----------------------------------------------------------------
D_impshare   |
_ce1 |
L1. |  -88.94783   42.79524    -2.08   0.038     -172.825   -5.070695
_ce2 |
L1. |    12.2211   10.85233     1.13   0.260    -9.049078    33.49127
_ce3 |
L1. |   16.56085   11.19548     1.48   0.139    -5.381875    38.50358
_ce4 |
L1. |  -82.11431   73.65811    -1.11   0.265    -226.4815    62.25293
tfp_in |
LD. |   29.92695   37.99267     0.79   0.431    -44.53732    104.3912
lnbrd |
LD. |  -124.4466   50.22086    -2.48   0.013    -222.8777   -26.01557
lnfrd |
LD. |  -8.419597   11.10867    -0.76   0.448    -30.19219      13.353
lllneduexp |
LD. |  -104.2414   82.14752    -1.27   0.204    -265.2476     56.7648
llnftl |
LD. |   2.091712   1.188223     1.76   0.078    -.2371618    4.420585
impshare |
LD. |  -.2562152   .3150787    -0.81   0.416    -.8737582    .3613277
_cons |  -7.67e-07    2.74268    -0.00   1.000    -5.375555    5.375553
------------------------------------------------------------------------------

Cointegrating equations

Equation           Parms    chi2     P>chi2
-------------------------------------------
_ce1                  2    51.7464   0.0000
_ce2                  2   33.25322   0.0000
_ce3                  2   65.03145   0.0000
_ce4                  2   37.05269   0.0000
-------------------------------------------

Identification:  beta is exactly identified
Johansen normalization restrictions imposed
------------------------------------------------------------------------------
beta |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1         |
tfp_in |          1          .        .       .            .           .
lnbrd |   6.25e-17          .        .       .            .           .
lnfrd |   5.55e-17          .        .       .            .           .
lllneduexp |  -3.33e-16          .        .       .            .           .
llnftl |  -.0461967   .0200468    -2.30   0.021    -.0854877   -.0069057
impshare |   .0132646   .0020457     6.48   0.000     .0092551    .0172741
_cons |  -.3241717          .        .       .            .           .
-------------+----------------------------------------------------------------
_ce2         |
tfp_in |  -1.44e-15          .        .       .            .           .
lnbrd |          1          .        .       .            .           .
lnfrd |   9.99e-16          .        .       .            .           .
lllneduexp |  -1.78e-15          .        .       .            .           .
llnftl |     1.2364   .2525998     4.89   0.000     .7413137    1.731487
impshare |   .0933262   .0257768     3.62   0.000     .0428047    .1438477
_cons |  -24.66017          .        .       .            .           .
-------------+----------------------------------------------------------------
_ce3         |
tfp_in |  -8.71e-16          .        .       .            .           .
lnbrd |   6.25e-17          .        .       .            .           .
lnfrd |          1          .        .       .            .           .
lllneduexp |   7.22e-16          .        .       .            .           .
llnftl |  -.4141496   .0588032    -7.04   0.000    -.5294018   -.2988975
impshare |   .0182635   .0060006     3.04   0.002     .0065025    .0300245
_cons |   -11.8882          .        .       .            .           .
-------------+----------------------------------------------------------------
_ce4         |
tfp_in |   1.25e-16          .        .       .            .           .
lnbrd |  -1.39e-16          .        .       .            .           .
lnfrd |  -1.67e-16          .        .       .            .           .
lllneduexp |          1          .        .       .            .           .
llnftl |   .1783574   .0330065     5.40   0.000     .1136659    .2430489
impshare |   .0115786   .0033682     3.44   0.001     .0049771      .01818
_cons |  -10.50126          .        .       .            .           .
------------------------------------------------------------------------------

Thank you very much!
Barbara
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```