Dear All:
I am trying to do some basic time-series in STATA i.e.
estimating multivariate ECM.
I have run Johan's test and the no. of cointegrating
vector is 'one' (i.e. rank). Now, STATA reports the
matrix of 'Alpha' and 'Beta' with five vectors.
The questions are:
As we have to take one vector for 'Alpha' and 'Beta'
out of five vectors, how to choose this vector? From
the STATA format, it's somewhat unclear.
Lastly, how we can test for weak exogeneity by putting
restrictions on the coefficients of 'Alpha'?
The lrjtest puts restrictions only on 'Beta' BUT not
alphas. But no command seems available to put
restrictions on the Alpha coefficients.
Thanks. - Asad.
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