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| From | DE SOUZA Eric <eric.de_souza@coleurope.eu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | RE: st: RE: VEC: Missing Output Data |
| Date | Thu, 7 Jul 2011 13:48:11 +0200 |
I thought you were referring to this, which is why I added the "keep in mind" to my reply Dy = A0 + P1.Dy(t-1) + P.y(t-1) = A0 + P1.Dy(t-1) + A.B.y(t-1) B is not identified, meaning that P = A*.B* = (A*G).(Ginverse.B*) = A**.B** P can be decomposed into an infinite number of A's and B's One identification rule is to set B = [I B2] where I is the unit matrix Since I is set it is not estimated and, therefore, has no standard errors and the like. In your output extract below, the column Coef is giving you the first row of B: 1 0 0 0 -.046 .013 The e-15's and e-17's are just zeroes. Eric de Souza College of Europe Brugge (Bruges), Belgium http://www.coleurope.eu -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Barbara Engels Sent: 07 July 2011 13:35 To: statalist@hsphsun2.harvard.edu Subject: Re: st: RE: VEC: Missing Output Data The problem I see is for example in this output: > Identification: beta is exactly identified > Johansen normalization restrictions imposed > ------------------------------------------------------------------------------ > beta | Coef. Std. Err. z P>|z| [95% Conf. Interval] > -------------+---------------------------------------------------------------- > _ce1 | > tfp_in | 1 . . . . . > lnbrd | 6.25e-17 . . . . . > lnfrd | 5.55e-17 . . . . . > lllneduexp | -3.33e-16 . . . . . > llnftl | -.0461967 .0200468 -2.30 0.021 -.0854877 -.0069057 > impshare | .0132646 .0020457 6.48 0.000 .0092551 .0172741 > _cons | -.3241717 . . . . . Why is there no Std. Err. etc. for lnbrd, lnfrd, ... ? And still, I don't really know how I could make an ECM out of the VEC results. Thanks for your help, Barbara * * 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/