Re: [Gretl-users] vecm comparisons
On Fri, 22 Jan 2010, Sven Schreiber wrote:
Allin Cottrell schrieb:
> 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..."
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
"
Another oddity in stata. To get a look at the output with
seasonals (which are not allowed in the "restricted constant"
case), I specified a vecm with unrestricted constant:
vec lrm lry ibo ide , rank(1) lags(2) \
trend(constant) sindicators(q1-q3)
[In the docs, "trend(constant)" -> "include an unrestricted
constant in model"]
But stata then prints "_cons" values in both the per-equation
output and the "beta" output, as in these snippets:
First equation:
---------------------------
| Coef.
-------------+-------------
D_lrm |
_ce1 |
L1. | -.1999204
[etc.].
_cons | .0012088
System info:
-------------------------
beta | Coef.
-------------+-----------
_ce1 |
lrm | 1
lry | -1.035892
ibo | 5.21588
ide | -4.226433
_cons | -6.048112
-------------------------
Eh?
Allin.