VECECM: Stata module to estimate vector error correction models (ECMs)

Patrick Joly ()
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Patrick Joly: Industry Canada

Statistical Software Components from Boston College Department of Economics

Abstract: vececm estimates a vector error correction model (ECM) after one or more cointegrating vectors have been identified using Johansen's maximum-likelihood cointegration rank test (see help johans). vececm uses the estimates of the cointegrating vectors as calculated by johans (the beta' matrix) to compute the value of each vector. Each vector then appears in the system estimates constrained by the value of its corresponding weight (given by the alpha matrix) in each equation. vececm doesn't allow a varlist as it simply uses the one specified at johans. This package contains wntstmvq, omninorm, and johans, all of which are required by vececm.

Language: Stata
Requires: Stata version 7.0
Keywords: vector autoregression; vector error correction model; Johansen procedure (search for similar items in EconPapers)
Date: 2002-05-24, Revised 2003-01-08
Note: This module may be installed from within Stata by typing "ssc install vececm". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/v/vececm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vececm.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vec_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wntstmvq.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wntstmvq.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/o/omninorm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/o/omninorm.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/j/johans.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/j/johans.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lrjtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lrjtest.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wjtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wjtest.hlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s425702

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