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st: Question about tesitng coefficients in the cointegrating equation with the VEC command


From   Bob Reed <bob.reed@canterbury.ac.nz>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Question about tesitng coefficients in the cointegrating equation with the VEC command
Date   Mon, 14 Apr 2014 04:07:58 +0000

Hi,
 
I used the vec command to estimate a VEC model using two variables, y and z.  The output for the cointegrating equation is given below:
 
Identification:  beta is exactly identified
 
                 Johansen normalization restriction imposed
------------------------------------------------------------------------------
        beta |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1         |
           y |          1          .        .       .            .           .
           z |  -.9929304   .0072861  -136.28   0.000    -1.007211   -.9786499
       _cons |  -.0816624          .        .       .            .           .
------------------------------------------------------------------------------
 
I want to test whether the coefficient on z = -1.
 
Can somebody tell me how to do this?
 
When I do a VEC, coeflegend, it shows me this:
 
                 Johansen normalization restriction imposed
------------------------------------------------------------------------------
        beta |      Coef.  Legend
-------------+----------------------------------------------------------------
_ce1         |
           y |          1  _b[y]
           z |  -.9929304  _b[z]
       _cons |  -.0816624  _b[_cons]
------------------------------------------------------------------------------
 
However, when I use the standard test command:
 
test _b[z] = -1
 
I get the following error message:
 
 
I’d appreciate any help you can give me.
 
Bob Reed
 
--------------------------------------------------------------------
W. Robert Reed
Professor
Replications Editor, Public Finance Review
Editor, ISRN Economics
Department of Economics and Finance
University of Canterbury
Private Bag 4800
Christchurch
New Zealand
Phone: +64-3-3642846
Fax: +64-3-3642635
Email: bobreednz@yahoo.com
Homepage: http://www.econ.canterbury.ac.nz/personal_pages/bob_reed/
 
View my Google Scholar profile
 
--------------------------------------------------------------------
The curious task of economics is to demonstrate to men how little they really know about what they imagine they can design. – F.A. Hayek
 
 
 

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