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st: RE: How do I obtain the long run elasticities in a Vector Error Correction Model using the VEC command


From   Jorge Garza Rodriguez <jogarza@udem.edu.mx>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: How do I obtain the long run elasticities in a Vector Error Correction Model using the VEC command
Date   Tue, 15 May 2012 21:58:40 +0000

Dear all:

Just to let you know that I found out how to estimate the long run elasticities, which are simply the beta parameters of the co-integrating equation and then all I have to do is to use simple algebra to obtain all elasticities in the model.

Best regards,

Jorge

Dr. Jorge Garza Rodríguez
Profesor Titular
Departamento de Economía
Universidad de Monterrey
jogarza@udem.edu.mx <mailto:jogarza@udem.edu.mx>
Tel. 52-81-82151455
"No society can surely be flourishing and happy, of which the far greater part of the members are poor and miserable"
(Adam Smith, The Wealth of Nations, Book 1, Ch. 8)



-----Mensaje original-----
De: Jorge Garza Rodriguez
Enviado el: Lunes, 14 de Mayo de 2012 05:17 p.m.
Para: statalist@hsphsun2.harvard.edu
Asunto: How do I obtain the long run elasticities in a Vector Error Correction Model using the VEC command

Dear All:

I did a Johansen cointegration analysis and I found out that the variables in my model are co-integrated. I used the vec command to obtain the short r un elasticities as well as the adjustment coefficients but I do not know how to obtain the long run elasticities with this command.

As far as I understand, the long run coefficients (which I would suppose are the long run elasticities if we have the logs of the variables?, am I correct in this?) are given by the beta parameters of the cointegrating equation but if I have only one cointegrating equation then I would have only the  long run elasticities for only one variable (the normalized variable) and  not for the other variables in the system?. How do I obtain the long run  elasticities for all variables in the system?

Thank you very much for your help.

Best,

Jorge Garza


Jorge Garza
Dr. Jorge Garza Rodríguez
Profesor Titular
Departamento de Economía
Universidad de Monterrey
jogarza@udem.edu.mx <mailto:jogarza@udem.edu.mx> Tel. 52-81-82151455 "No society can surely be flourishing and happy, of which the far greater part of the members are poor and miserable"
(Adam Smith, The Wealth of Nations, Book 1, Ch. 8)





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