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RE: st: RE: VEC: Missing Output Data

 From DE SOUZA Eric To "statalist@hsphsun2.harvard.edu" Subject RE: st: RE: VEC: Missing Output Data Date Thu, 7 Jul 2011 13:48:11 +0200

```I thought you were referring to this, which is why I added the "keep in mind" to my reply
Dy = A0 + P1.Dy(t-1) + P.y(t-1)  = A0 + P1.Dy(t-1) + A.B.y(t-1)
B is not identified, meaning that P = A*.B* = (A*G).(Ginverse.B*) = A**.B**
P can be decomposed into an infinite number of A's and B's

One identification rule is to set B = [I B2] where I is the unit matrix
Since I is set it is not estimated and, therefore, has no standard errors and the like.

In your output extract below, the column Coef is giving you the first row of B: 1 0 0 0 -.046 .013
The e-15's  and e-17's are just zeroes.

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 13:35
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: VEC: Missing Output Data

The problem I see is for example in this output:

> 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          .        .       .            .           .

Why is there no Std. Err. etc. for lnbrd, lnfrd, ... ?
And still, I don't really know how I could make an ECM out of the VEC results.
Thanks for your help,
Barbara

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