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st: Noconst in cointegration relationship in VECM
From
Svein Olav Krakstad <[email protected]>
To
[email protected]
Subject
st: Noconst in cointegration relationship in VECM
Date
Thu, 28 Apr 2011 15:32:13 +0200
Hi,
I am trying to have no constant in the cointegration vector in the VEC model.
I know how to have constraints on the variables, but the constant does
not work in the same way. For example if I restrict (i.e.) the
variable lnrent:
constraint define 1 [_ce1]lnrent=1
vec lnprice lnrent lnAM, rank(1) lags(2) trend(constant) bconstraints(1)
It works fine.
Then I am thinking that it should only be to restrict the constant in
the same way:
constraint define 1 [_ce1]_cons=0
vec lnprice lnrent lnAM, rank(1) lags(2) trend(constant) bconstraints(1)
But this do not work.
Could you please help me to figure this out?
Best regards,
Svein Olav
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