If you include seasonal dummies in the "NO CONSTANT" or "restricted
constant" it is unlikely that the sum of the seasonals will add to
zero and you will then be imposing a trend on the undifferenced series
in the vecm. In such a case the relevant statistics will not follow
the "Johansen" distributions. Thus it may be more correct to not
allow seasonal dummies in those cases.
Stata in the option trend(trend) refers to a quadratic trend in the
undifferenced data it is correct as this corresponds to a linear trend
in the differenced data. The explanations of some Stata options do
not always correspond to the language used by Johansen and others in
econometrics. Their unit root tests have similar problems.
Best regards
John
2010/1/22 Sven Schreiber <svetosch(a)gmx.net>:
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
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
--
John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj@tcd.ie
mailto:frainj@gmail.com