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Re: st: cointegration, johans command
From
Christopher Baum <[email protected]>
To
Stéphanie Combes <[email protected]>
Subject
Re: st: cointegration, johans command
Date
Wed, 28 Jul 2010 10:06:09 -0400
<>
Stephanie,
You should be very careful in working with a VECM which contains arbitrary exogenous variables. Quoting from [TS] p. 481:
> Johansen (1995, chap. 11) shows that inference about the
> number of cointegrating equations is based on nonstandard distributions and that the addition of any
> term that generalizes the deterministic specification in (1) changes the asymptotic distributions of the
> statistics used for inference on the number of cointegrating equations and the asymptotic distribution
> of the ML estimator of the cointegrating equations. In fact, Johansen (1995, 84) notes that including
> event indicators causes the statistics used for inference on the number of cointegrating equations to
> have asymptotic distributions that must be computed case by case. For this reason, event indicators
> may not be specified in the present version of vec.
I would rely on Stata's vec if I were you. The vec apparatus contains commands to test for appropriate lag length, dynamic stability, etc., which I do not believe are available in the older user-written software.
Kit
On Jul 28, 2010, at 9:54 AM, Stéphanie Combes wrote:
> I was recommended that command so I kind of thought it had some abilities the command vec didn't have but I'm relatively new at stata so I may have been mistaken. As a matter of fact, with johans and vececm I can add exogeneous variables to my model, something I don't manage to do with vec..
>
> 2010/7/28 Christopher Baum <[email protected]>
> On Jul 28, 2010, at 2:33 AM, Stephanie wrote:
>
> > I'm trying to use the command johans for cointegration but I fail to
> > understand how to get the estimated cointegrated relations (it is apparently
> > not given as a non optional output, but I can't find which option would supply
> > them). I tried to get them next through the vececm command but I couldn't
> > either.
> > If someone uses regularly the command, I would be very grateful for your
> > help. Would you give any piece of advice for the choice of lags?
> >
> > Bonus question : if cointegration rank is above 2, do I have to check that
> > both elasticities to long-run equations are negative in my estimated models?
> > I must confess that I have a hard time interpretating when there is more
> > than one cointegrated equation.
>
> Out of curiosity, why would you want to use this user-written command, dating from 2003 and depending
> on software written for Stata version 5, when official Stata has had the ability to do Johansen-Juselius tests for cointegration
> for several versions now?
>
> Kit
>
>
>
> Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
> *
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>
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/