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Re: Re: st: Wald test on beta coefficients of VECM


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: Wald test on beta coefficients of VECM
Date   Tue, 15 Oct 2013 15:00:22 +0200

Isn't that coefficient already constrained to 1? The error message
would then be a bit confusing, but it would make sense that you would
not be able to test that constraint.

Hope this helps,
Maarten


On Tue, Oct 15, 2013 at 2:37 PM, Vanessa Gunnella
<vanessa.gunnella2@unibo.it> wrote:
> Dear Maarten, thanks for your suggestion. Unfortunately, I cannot make it work.
> I added the option -coeflegend- to the -vec- command and it gives me the following legend:
>
>
>   beta |      Coef.  Legend
> -------------+----------------------------------------------------------------
> _ce1         |
>          deR |          1  _b[_ce1:deR]
>          der |          0  _b[_ce1:der]
>       deinfl |   2.768362  _b[_ce1:deinfl]
>       deogap |   -1.43199  _b[_ce1:deogap]
>        _cons |  -10.52718  _b[_ce1:_cons]
> -------------+----------------------------------------------------------------
> _ce2         |
>          deR |  -2.78e-17  _b[_ce2:deR]
>          der |          1  _b[_ce2:der]
>       deinfl |  -.3931947  _b[_ce2:deinfl]
>       deogap |  -1.581206  _b[_ce2:deogap]
>        _cons |  -4.697086  _b[_ce2:_cons]
>
> Hence, I tried with
>
> test (_b[_ce1:deR]==1)
>
> but it gives me the error:
> "equation _ce1 not found"
>
>
>
> *
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-- 
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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