Allin Cottrell schrieb:
On Thu, 21 Jan 2010, Sven Schreiber wrote:
> Allin Cottrell schrieb:
>> I've attempted to do this with stata, RATS 6.0 and R. Stata won't
>> include the seasonals when a restricted constant is included (why
>> not?)
> My guess would be that it's because the seasonals are standard
> (uncentered), and since those have a non-zero mean it would contradict
> the choice of restricting the constant. (Just a guess though, stata
> could of course easily include centered seasonals.)
Hm, the relevant piece of syntax in stata is
sindicators(varlist_si)
which is annotated as follows:
"sindicators(varlist_si) specifies the normalized seasonal
indicator variables to include in the model. The indicator
variables specified in this option must be normalized as discussed
in Johansen (1995). If the indicators are not properly normalized,
the estimator of the cointegrating vector does not converge to the
asymptotic distribution derived by Johansen (1995). ...
sindicators() cannot be specified with trend(none) or with
trend(rconstant)."
Then I don't know what Stata tries to do there. But I note that another
piece of documentation there is also strange/wrong:
"trend(trend) include a linear trend in the cointegrating
equations and a quadratic trend in the
undifferenced data
"
-sven