Hi everybody,
I am estimating a VECM to calculate an equilibrium exchange rate. For this, I use a total of seven variables (including the exchange rate).
When I use the vecrank command, STATA tells me there are six variables cointegrated.
Basically, my question is whether or not I should include the rank(6) option in the vec command. After all, I am only interested in explaining movements in the exchange rate, not in the other variables.
Can I proceed with my research if I just estimate the model with: vec exchangerate var1 var2 ... var6, trend(constant) rank(1)?
I do not understand the output if I specify rank(6).
Thank you in advance!
Hero
Related Posts with VECM - can I use rank(1) when there are multiple cointegrated variables?
ImportError after specifying set python_exec in Python integrationHello If I set a certain environment's executable for python, initialize it and import a package in…
Unable to find detailed parameters for variablesHello everyone, I am using Stata /SE 17.0 working with the Pollock 2012 data set states.dta. I am ha…
Correlating random effects to study interhospital variationHi All, Using data from ~2000 hospitals, I have identified patients who underwent 1 of 3 operations…
Calculating days elapsed between dates in Panel dataHello guys, I am trying to calculate days elapsed for each 'episode' between x and y values. For ex…
Fixed Effects Regression - Binary Variable Can Only Equal 1 OnceDear all, I am working with a dataset looking at employee departures across a group of firms. The d…
Subscribe to:
Post Comments (Atom)
0 Response to VECM - can I use rank(1) when there are multiple cointegrated variables?
Post a Comment