Re: st: VECM model: estandard errors problem

[Charles Koss <hqtiger@gmail.com>]

Thank you Mr. Samuels for the info. I will be more specific
hereforward. Let's say I run this code:

//Start code for irfs by vec command
clear
set more off
use http://www.stata-press.com/data/r11/urates
vec missouri indiana kentucky illinois, trend(rconstant) rank(2) lags(4)
irf create vec1, set(vecirfs, replace) step(50)
irf graph irf, impulse(indiana) response(missouri)
//End for irf postestimation command after vec

I need to obtain the standard errors to build confidence intervals for
the calculated irf's that are displayed in the graph. Stata can
calculate the IRF, unfortunately, it does not provide the standard
errors. Therefore, I do know know whether the estimates are
significantly different from zero or not. Concecuently, my estimates
for the irf are basically uselles since I can not statiscally infer
even at 50% level of significance since I do not have the standard
errors. In conclusion, I would like to know how to get the standard
errors for the irfs.

thank you,

Charles

-- 
Charles Koss
http://charlesonnet.blogspot.com



On Wed, Mar 23, 2011 at 3:52 PM, Steven Samuels <sjsamuels@gmail.com> wrote:
> I know nothing about this topic, but I don't think anyone expert will believe that "Stata can not do the job" if you don't follow  the guideline 3.3 of the Statalist FAQ and:
>
> "Say exactly what you typed and exactly what Stata typed (or did) in response. N.B. exactly! If you can, reproduce the error with one of Stata's provided datasets or a simple concocted dataset that you include in your posting."
>
> Steve
> sjsamuels@gmail.com
>
>
>        •
> On Mar 23, 2011, at 4:43 PM, Charles Koss wrote:
>
> Dear Stata list members:
>
> Hope you can help with this issue related to the Stata software. I am
> considering it for estimating a VECM model. After estimation, the
> irf's can be estimated, unfortunately, the standard errors are not
> provided even by Stata version 11. Therefore, I simply can not do
> inference and interpretarion of those results. Has someone made a
> routine for solving this problem? If Stata can not do the job
> completely (in reference to VECM models), what software would you
> recommend to buy? and/or What is your recommendation considering that
> I am neither a Statistitian nor a Computer Programmer?
>
> Thank you for the help,
>
> Charles Koss
>
> --
> Charles Koss
> http://charlesonnet.blogspot.com
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