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st: VECM: Stata drops variable
From
Barbara Engels <[email protected]>
To
[email protected]
Subject
st: VECM: Stata drops variable
Date
Mon, 11 Jul 2011 10:03:58 +0200
Dear Statalist,
estimating a VECM with Stata 10, Stata automatically drops coefficients of variables in the cointegrating equation:
(lags 2, rank 2)
Cointegrating equations
Equation Parms chi2 P>chi2
-------------------------------------------
_ce1 3 57.60437 0.0000
_ce2 3 135.9643 0.0000
-------------------------------------------
Identification: beta is exactly identified
Johansen normalization restrictions imposed
------------------------------------------------------------------------------
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1 |
tfp_in | 1 . . . . .
lnbrd | (dropped)
lnfrd | -.5602317 .1775941 -3.15 0.002 -.9083096 -.2121538
lllneduexp | .0401034 .4113914 0.10 0.922 -.766209 .8464157
lnftl | -.066383 .0194038 -3.42 0.001 -.1044138 -.0283522
_cons | 7.937646 . . . . .
-------------+----------------------------------------------------------------
_ce2 |
tfp_in | (dropped)
lnbrd | 1 . . . . .
lnfrd | -.8801873 .6528244 -1.35 0.178 -2.1597 .399325
lllneduexp | -5.511943 1.512249 -3.64 0.000 -8.475896 -2.547991
lnftl | -.3724166 .0713271 -5.22 0.000 -.5122152 -.2326179
_cons | 51.38039 . . . . .
------------------------------------------------------------------------------
I wonder why. And I also need especially these variables to form part of the cointegrating matrix beta.
Any help is highly appreciated.
Best,
Barbara
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