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From | Svein Olav Krakstad <sveinolavkrakstad@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: RE: Noconst in cointegration relationship in VECM |
Date | Fri, 29 Apr 2011 09:27:40 +0200 |
Thank you all for helping me. Then I understand why Stata does not allow me to do what i want. :-) (I can mentioned that if one are only interested in the cointegration vector, johans y x1 x2, noconst lags(3) exog(z1 z2 ... zn) does the trick.) Have a nice day. Svein Olav 2011/4/28 <gsanchez@stata.com>: > Svein Olav wrote: > >> I am trying to have no constant in the cointegration vector in the VEC >> model. >> >> … 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. > > The –vec- command provides five different options to restrict the > deterministic components included in the VEC model specification. The five > alternatives were referred by Eric de Souza in his response to Svein Olav > >> trend(constant) include an unrestricted constant in model; the default >> trend(rconstant) include a restricted constant in model >> trend(trend) include a linear trend in the cointegrating equations and a >> quadratic trend in the undifferenced data >> trend(rtrend) include a restricted trend in model >> trend(none) do not include a trend or a constant >> See page 477 of the time series manual for a detailed explanation > > Those five alternatives imply “different asymptotic distributions of the > statistics used for inference on the number of cointegrating equations and a > different asymptotic distribution of the ML estimator of the cointegrating > equations” (see pages 480-1 in the time-series manual [TS]). This is discussed > in Johansen (1995, chap. 11). > > Svein Olav may consider specifying the option ‘trend(none)’ to restrict the > constant in the cointegrating equation to zero. However, that option would > also restrict to zero the constant in the differenced portion of the model and > it would exclude linear trends in the differenced data and linear trends in > the cointegrating equations (page 477 in the [TS] provides additional details > for the ‘trend()’ option). > > There is not an option to restrict the constant in the cointegrating equation > without imposing any constraints in the other deterministic components of the > model. That alternative is not allowed with the ‘bconstraints()’ option > because it would modify the asymptotic distributions referred above and, > therefore, it would invalidate the estimation and inference on the > cointegrating equations. > > Reference: > > Johansen, S. 1995. Likelihood-Based Inference in Cointegrated Vector > Autoregressive Models. Oxford: Oxford University Press. > > > > Gustavo Sanchez > gsanchez@stata.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/