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

[Christopher Baum <kit.baum@bc.edu>]

<>
Bob asked

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. Interv=
al]
- -------------+-------------------------------------------------------------=
- ---
_ce1         |
          y |          1          .        .       .            .         =
 .
          z |  -.9929304   .0072861  -136.28   0.000    -1.007211   -.9786=
499
      _cons |  -.0816624          .        .       .            .         =
 .
- ---------------------------------------------------------------------------=
- ---

I want to test whether the coefficient on z =3D -1.


That seems fairly straightforward, if you're just trying to do the equivalent of a Wald test on the beta vector. Someone asked
me privately how to test two coefficients in the vector for equivalence.

clear
webuse rdinc
vec ln_ne ln_se ln_fw
mata:
beta = st_matrix("e(beta)")
vce = st_matrix("e(V_beta)")
beta
vce
// test equality of coefficients on se, fw
z = (beta[2]-beta[3]) / sqrt(vce[2,2] + vce[3,3] - 2 * vce[2,3])
pval = 1 - normal(abs(z))
"test stat"
z
"p-value"
pval
end


Kit Baum
Professor of Economics and Social Work, Boston College, Chestnut Hill MA, USA
DIW Research Professor, Department of Macroeconomics, DIW Berlin, Berlin, Germany
baum@bc.edu  |  http://ideas.repec.org/e/pba1.html












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