VECM with Stata

[VM]

Hi,

It is somehow very strange that there is hardly any online material
regarding the way you should interpret Stata's output for a "vec"
command.
Is there anybody who could provide an useful example so that it would
be clear
how to analyze the output data? I understand the formal procedure you
have to
follow before you do the analysis (e.g. unit-root test, cointegration
test).
After I conduct the vec command, I become very confused by all the
coefficients it spits out.

Thanks for your help!

V.

[Eric A. Booth]

<>
The -vec- entry in the manual has a very detailed expl. of -vec-, including the formulas for everything being calculated (including the coefficients that tripped you up). See manual entry [TS] vec (pg 467 and pg 454 (intro to vec)). There are also many references provided that you can refer to for more information on what is being calculated.
I have no idea about whether Stata-centered books provide better annotated output for -vec- or not; but the manual entry & citations look to be a good start to understanding the output.

EAB

On May 16, 2011, at 2:11 AM, Vafa Moayedi wrote:

> Thanks Eric.
> I know these websites but none of them gives a good (precise) explanation about how you should analyze Stata's VECM results. Even many Stata books don't do this. To me it seems that there is indeed high demand for a more detailed resource as I am sure that many others like me would appreciate it as well.
>
> Best,
> Vafa

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[raj kumar]

pls provide something so that I can interpret stata output for vec command....

Rajkumar