How to derive from VECM regression using vec var1 var2 the cointegration equation?. (also yes, i've checked non stationary of log_pib_real and log_gp in levels, stationary in first differences, Cointegration test using Johansen at lags(7) Johansen results at the end of the VECM follows as:
Code:
Johansen normalization restriction imposed
beta Coef. Std. Err. z P>z [95% Conf. Interval]
_ce1
log_pib_real 1 . . . . .
log_gp -.6103451 .111848 -5.46 0.000 -.8295631 -.3911271
_cons -14.44061 . . . . .
PHP Code:
log_pib_real = 14.44061 + 0.6103451*log_gp
Also i'm putting the VECM as well downhere.
Code:
vec log_pib_real log_gp, lags(7) trend(constant) rank(1)
Vector error-correction model
Sample: 1997 - 2017 Number of obs = 21
AIC = -7.425222
Log likelihood = 106.9648 HQIC = -7.112176
Det(Sigma_ml) = 1.29e-07 SBIC = -5.982786
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
D_log_pib_real 14 .052562 0.7921 26.67022 0.0212
D_log_gp 14 .065114 0.8071 29.27988 0.0096
----------------------------------------------------------------
--------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
---------------+----------------------------------------------------------------
D_log_pib_real |
_ce1 |
L1. | -.6154371 .2616498 -2.35 0.019 -1.128261 -.102613
|
log_pib_real |
LD. | -.2222438 .3793556 -0.59 0.558 -.9657671 .5212795
L2D. | -.0054909 .3307023 -0.02 0.987 -.6536554 .6426737
L3D. | .2496612 .3029083 0.82 0.410 -.3440281 .8433504
L4D. | .4396373 .3784581 1.16 0.245 -.3021269 1.181402
L5D. | .4052015 .3444006 1.18 0.239 -.2698113 1.080214
L6D. | .5882393 .4339737 1.36 0.175 -.2623336 1.438812
|
log_gp |
LD. | .3232428 .3215655 1.01 0.315 -.307014 .9534997
L2D. | .0584609 .255566 0.23 0.819 -.4424392 .559361
L3D. | -.2284644 .1991852 -1.15 0.251 -.6188601 .1619314
L4D. | -.5250229 .2567672 -2.04 0.041 -1.028277 -.0217684
L5D. | -.6069792 .3440342 -1.76 0.078 -1.281274 .0673155
L6D. | -.2024935 .2530504 -0.80 0.424 -.6984632 .2934761
|
_cons | -.0279986 .0513774 -0.54 0.586 -.1286964 .0726992
---------------+----------------------------------------------------------------
D_log_gp |
_ce1 |
L1. | -.493292 .3241343 -1.52 0.128 -1.128583 .1419996
|
log_pib_real |
LD. | .2004946 .4699494 0.43 0.670 -.7205892 1.121578
L2D. | -.3279454 .4096772 -0.80 0.423 -1.130898 .4750071
L3D. | -.4937168 .3752456 -1.32 0.188 -1.229185 .2417511
L4D. | .5011307 .4688375 1.07 0.285 -.4177739 1.420035
L5D. | .098285 .4266468 0.23 0.818 -.7379273 .9344974
L6D. | .5788976 .5376108 1.08 0.282 -.4748001 1.632595
|
log_gp |
LD. | -.1155646 .3983584 -0.29 0.772 -.8963328 .6652036
L2D. | .1093424 .3165976 0.35 0.730 -.5111775 .7298622
L3D. | .2351203 .2467525 0.95 0.341 -.2485057 .7187462
L4D. | -.1739218 .3180857 -0.55 0.585 -.7973583 .4495146
L5D. | -.5374406 .4261929 -1.26 0.207 -1.372763 .2978821
L6D. | -.5157345 .3134812 -1.65 0.100 -1.130146 .0986774
|
_cons | .0349314 .0636468 0.55 0.583 -.089814 .1596768
--------------------------------------------------------------------------------
Cointegrating equations
Equation Parms chi2 P>chi2
-------------------------------------------
_ce1 1 29.77794 0.0000
-------------------------------------------
Identification: beta is exactly identified
Johansen normalization restriction imposed
------------------------------------------------------------------------------
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1 |
log_pib_real | 1 . . . . .
log_gp | -.6103451 .111848 -5.46 0.000 -.8295631 -.3911271
_cons | -14.44061 . . . . .
------------------------------------------------------------------------------
0 Response to VECM - Johansen test and derivation of Cointegration Ecuation.
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