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

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

Author Info

Patrick Joly () (Industry Canada)

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.

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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S425702.

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Programming language: Stata
Requires: Stata version 7.0
Date of creation: 24 May 2002
Date of revision: 08 Jan 2003
Handle: RePEc:boc:bocode:s425702

Note: This module may be installed from within Stata by typing "ssc install vececm". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

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This page was last updated on 2008-5-14.

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