Re: [Gretl-users] vecm comparisons
Allin Cottrell schrieb:
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?
Well it *is* possible to decompose the unrestricted constant into a
constant component in the \beta-directions (cointegration space) and an
orthogonal rest that is responsible for the drift in the
\beta_{\perp}-directions (common-trends space orthogonal to \beta).
See http://www.hungnes.net/gram for example.
But whether that's what Stata intends to do... no idea.
-sven