On Thursday chen jie [[email protected]] asked:
>I attempted to obtain impluse-response functions after
>estimating VECM. But everytime I was told "no irf file
>active".
>. vec lnx lny lnz, lag(6) trend(n)
>output...... fine
>. irf create results
>no irf file active
>r(111);
>I have tried many different ways but still failed.
>Really totally confused, what is the reason??
>Thanks for any hint!
See the following example:
. clear
. webuse urates
. vec missouri indiana kentucky illinois, trend(rconstant) rank(2) ///
> lags(4) noetable
Vector error-correction model
Sample: 1978m5 2003m12 No. of obs = 308
AIC = -2.306048
Log likelihood = 417.1314 HQIC = -2.005818
Det(Sigma_ml) = 7.83e-07 SBIC = -1.555184
Cointegrating equations
Equation Parms chi2 P>chi2
-------------------------------------------
_ce1 2 133.3885 0.0000
_ce2 2 195.6324 0.0000
-------------------------------------------
Identification: beta is exactly identified
Johansen normalization restrictions imposed
----------------------------------------------------------------------------
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+--------------------------------------------------------------
_ce1 |
missouri | 1 . . . . .
indiana | (dropped)
kentucky | .3493902 .2005537 1.74 0.081 -.0436879 .7424683
illinois | -1.135152 .2069063 -5.49 0.000 -1.540681 -.7296235
_cons | -.3880707 .4974323 -0.78 0.435 -1.36302 .5868787
-------------+--------------------------------------------------------------
_ce2 |
missouri | -1.11e-16 . . . . .
indiana | 1 . . . . .
kentucky | .2059473 .2718678 0.76 0.449 -.3269038 .7387985
illinois | -1.51962 .2804792 -5.42 0.000 -2.069349 -.9698907
_cons | 2.92857 .6743122 4.34 0.000 1.606942 4.250197
----------------------------------------------------------------------------
. irf create vec1, set(vecirfs) step(50)
(file vecirfs.irf created)
(file vecirfs.irf now active)
(file vecirfs.irf updated)
. irf graph oirf, impulse(indiana) response(missouri)
The last instruction produces the impulse response graph
Sincerely,
Gustavo Sanchez
[email protected]
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