VECM University of Bath修正巴斯大学.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * But not to those of Indianna. This has been based on an example in the STATA manual, but….. There are more variables. Lets try the regression in full: vec missouri indiana kentucky illinois arkansas ten, trend(rconstant) rank(2) lags(3) Tennessee appears related to nothing, so.. vec missouri indiana kentucky illinois arkansas ten, trend(rconstant) rank(3) lags(3) but Tennessee still remains unrelated to anything We can see from the map that Tennessee is on the South east fringe of this group and it would be interesting to bring in North Carolina, Alabama and Georgia. Johansen’s methoodology vecrank implements three types of methods for determining r, the number of cointegrating equations in a VECM. The first is Johansen’s “trace” statistic method. The second is his “maximum eigenvalue” statistic method. The third method chooses r to minimize an information criterion. All three methods are based on Johansen’s maximum likelihood (ML) estimator of the parameters of a cointegrating VECM. webuse balance2 We have quarterly data on the natural logs of aggregate consumption, investment, and GDP inthe United States from the first quarter of 1959 through the fourth quarter of 1982. As discussed in King et al. (1991), the balanced-growth hypothesis in economics implies that we would expect to find two cointegrating equations among these three variables. describe In this example, because the trace statistic at r = 0 of 46.1492 exceeds its critical value of 29.68, we reject the null hypothesis of no cointegrating equations. Similarly, because the trace statistic at r = 1 of 17.581 exceeds its critical value of 15.41, we reject the null hypothesis that there is one or fewer cointegrating equation. In contrast, because the trace statistic at r = 2 of 3.3465 is less than its critical value of 3.76, we cannot reject the null hypothesis that there are two or fewer cointegratin