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Re: st: VAR in Levels / Johansen Trace test
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: VAR in Levels / Johansen Trace test
Date
Sat, 6 Nov 2010 09:43:33 -0400
<>
On Nov 6, 2010, at 2:33 AM, Lauricio wrote:
> Second, instead of estimating VECMs, there is the possibility of
> estimating VARs in Levels. Unfortunately I don't know how I have to
> transform my data to get an VAR in levels. Is this a simple log
> linearisation?
Stata's -var- and -vec- commands both work on data in levels. Look at the example for -vec-, in which the levels of the unemployment rate in various states are those in the varlist.
-help vecrank-, which comes up with -findit johansen-, says " The default is to display the trace statistic."
Perhaps you should read through [TS] var and [TS] vec...
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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