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st: keeping cointegrating parameters
From
Jeremy Kronick <[email protected]>
To
Statalist <[email protected]>
Subject
st: keeping cointegrating parameters
Date
Mon, 8 Oct 2012 12:28:00 -0400
Hi,
I am running a rolling vector error correction model and want to evaluate the stability of the adjustment parameters (alpha) and the cointegrating parameters (beta).
The issue though is that when I use:
"rolling, recursive window(10): vec cpiINF lendingrate borrowingrate l_capital l_production l_loans, lags(5) rank(2) alpha bconstraints(1/5) aconstraints(6/9) nolog", the only variables that are left are all the short term variables.
Is there a way to tell Stata to keep the alpha and beta parameters that are stored in the results from a typical "vec"? With "vec" they are stored as e(alpha), e(beta) respectively.
Thanks,
Jeremy Kronick
PhD Student
Brandeis University
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