*! testvec CFBaum 12may2017 /* testvec places the coefficients of the cointegrating vector(s) and their VCE into the ereturns, so that standard test, testparm, lincom commands may be used. If there is more than one cointegrating vector, the coefficient names should be prefixed with [_ce1], [_ce2], etc. e.g. webuse urates vec missouri indiana kentucky illinois arkansas, rank(2) test [_ce2]illinois = [_ce2]kentucky lincom [_ce1]kentucky + [_ce1]illinois + [_ce1]arkansas */ prog testvec, eclass version 12 syntax [,PRINT] tempname beta veebeta if "`e(cmd)'" != "vec" { di as err "testvec can only be used after vec." error 198 exit } loc cenames `e(cenames)' mat `beta' = e(beta) mat `veebeta' = e(V_beta) eret post `beta' `veebeta' eret local eqnames `cenames' di _n "You can now use test, testparm, lincom on the cointegrating vectors (`cenames')." if "`print'" == "print" { matlist e(b) matlist e(V) } end