English, Article edition: VECECM: Stata module to estimate vector error correction models (ECMs) Patrick Joly

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Bookmark: http://trove.nla.gov.au/version/174644
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  • code
Language
  • English

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Title
  • VECECM: Stata module to estimate vector error correction models (ECMs)
Author
  • Patrick Joly
Physical Description
  • code
Notes
  • 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.
  • vector autoregression, vector error correction model, Johansen procedure
  • RePEc:boc:bocode:s425702
Language
  • English
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