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Re: st: cointegration, johans command
From
Salima Bouayad Agha <[email protected]>
To
[email protected]
Subject
Re: st: cointegration, johans command
Date
Sun, 01 Aug 2010 09:57:39 +0200
Stéphanie,
i totally agree with that comment.
Working on VEC with other more dedicated software, you can add some
exogenous variables but usually they recomanded that they could be
dummy variables or specific intervention variables. Remember that a
vec model is not a simultaneous equation econometric models, even if
they look very similar they are not used for the same purpose.
SalimaChristopher Baum <[email protected]> a écrit :
<>
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/
*
* 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/