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From | Barbara Engels <engels.ba@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: VECM: Stata drops variable |
Date | Mon, 11 Jul 2011 10:03:58 +0200 |
Dear Statalist, estimating a VECM with Stata 10, Stata automatically drops coefficients of variables in the cointegrating equation: (lags 2, rank 2) Cointegrating equations Equation Parms chi2 P>chi2 ------------------------------------------- _ce1 3 57.60437 0.0000 _ce2 3 135.9643 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 | (dropped) lnfrd | -.5602317 .1775941 -3.15 0.002 -.9083096 -.2121538 lllneduexp | .0401034 .4113914 0.10 0.922 -.766209 .8464157 lnftl | -.066383 .0194038 -3.42 0.001 -.1044138 -.0283522 _cons | 7.937646 . . . . . -------------+---------------------------------------------------------------- _ce2 | tfp_in | (dropped) lnbrd | 1 . . . . . lnfrd | -.8801873 .6528244 -1.35 0.178 -2.1597 .399325 lllneduexp | -5.511943 1.512249 -3.64 0.000 -8.475896 -2.547991 lnftl | -.3724166 .0713271 -5.22 0.000 -.5122152 -.2326179 _cons | 51.38039 . . . . . ------------------------------------------------------------------------------ I wonder why. And I also need especially these variables to form part of the cointegrating matrix beta. Any help is highly appreciated. Best, Barbara * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/