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Re: st: RE: VEC: Missing Output Data
From
Barbara Engels <[email protected]>
To
[email protected]
Subject
Re: st: RE: VEC: Missing Output Data
Date
Thu, 7 Jul 2011 14:33:39 +0200
Thanks a lot, that clarifies things significantly.
El 07.07.2011, a las 13:48, DE SOUZA Eric escribió:
> 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: [email protected] [mailto:[email protected]] On Behalf Of Barbara Engels
> Sent: 07 July 2011 13:35
> To: [email protected]
> 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
>
>
>
>
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