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Re: st: RE: VECM: Stata drops variable
From
Barbara Engels <[email protected]>
To
[email protected]
Subject
Re: st: RE: VECM: Stata drops variable
Date
Mon, 11 Jul 2011 10:21:22 +0200
thank you, eric. so I just put a zero in my cointegrating matrix, and that's it. thanks for your patience.
El 11.07.2011, a las 10:17, DE SOUZA Eric escribió:
> For exactly the same reason that I explained in our last exchange. "dropped" means the coefficient is set to zero. See our previous exchange
>
>
> 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: 11 July 2011 10:04
> To: [email protected]
> Subject: st: VECM: Stata drops variable
>
> 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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