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Re: st: Wald test on beta coefficients of VECM


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Wald test on beta coefficients of VECM
Date   Mon, 14 Oct 2013 17:06:28 +0200

I have not used VEC models myself, but in general you can see the
names of all the coefficients left behind by adding the -coeflegend-
option to your estimation command.

Hope this helps,
Maarten


On Mon, Oct 14, 2013 at 3:48 PM, Vanessa Gunnella
<vanessa.gunnella2@unibo.it> wrote:
> 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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-- 
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
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