Re: st: VECM model: estandard errors problem

[Charles Koss <hqtiger@gmail.com>]

For that reason, I am asking for some  ideas on how to solve this
issue. The estimate itself is useless to me.  We do need the standard
errors for interpreting the results statiscally

Charles

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

On Wed, Mar 23, 2011 at 4:28 PM, Steven Samuels <sjsamuels@gmail.com> wrote:
> You are quite right.  The manual states that "After estimation by vec, standard errors are simply not available."
>
>
> Steven Samuels
> sjsamuels@gmail.com
>
> On Mar 23, 2011, at 5:06 PM, Charles Koss wrote:
>
> 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
>> *
>> *   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/
>>
>
> *
> *   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/
>

*
*   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/