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

[Bob Reed <bob.reed@canterbury.ac.nz>]

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/

 

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--------------------------------------------------------------------

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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