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st: Wald test on beta coefficients of VECM


From   Vanessa Gunnella <vanessa.gunnella2@unibo.it>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Wald test on beta coefficients of VECM
Date   Mon, 14 Oct 2013 13:48:48 +0000

Hi all,
I would like to test restrictions on the beta matrix of a VECM with a Wald-type test.
I know that it is possible to test such restrictions with a LR test, but I actually need a Wald test.

The command -test- works with restrictions on short-run coefficients or alpha coefficients, as shown in this thread
http://www.stata.com/statalist/archive/2011-04/msg00326.html

Thus, after the regression estimation, I tried to type

test [_ce1]: deR=1
or
test [_ce1]deR=1

that is, a test on the coefficient of deR in the cointegrating equation 1.
Stata returns the error:
"equation [_ce1] not found"

Does anybody of you know how to indicate the coefficients of the cointegrating equations in the command -test-?

Thank you in advance.
Vanessa

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