-----------------------------------------------------------------------------------------------------------------------------
name: <unnamed>
log: /Users/baum/Documents/EC327S2010/327vecm.smcl
log type: smcl
opened on: 10 Mar 2010, 11:33:50
. * 327 VECM
. webuse txhprice,clear
. * the housing price series for Dallas and Houston appear to be I(1).
. * determine the appropriate number of lags in the relationship
. varsoc dallas houston
Selection-order criteria
Sample: 1990m5 - 2003m12 Number of obs = 164
+---------------------------------------------------------------------------+
|lag | LL LR df p FPE AIC HQIC SBIC |
|----+----------------------------------------------------------------------|
| 0 | 299.525 .000091 -3.62835 -3.61301 -3.59055 |
| 1 | 577.483 555.92 4 0.000 3.2e-06 -6.9693 -6.92326 -6.85589 |
| 2 | 590.978 26.991* 4 0.000 2.9e-06* -7.0851* -7.00837* -6.89608* |
| 3 | 593.437 4.918 4 0.296 2.9e-06 -7.06631 -6.95888 -6.80168 |
| 4 | 596.364 5.8532 4 0.210 3.0e-06 -7.05322 -6.9151 -6.71299 |
+---------------------------------------------------------------------------+
Endogenous: dallas houston
Exogenous: _cons
. * determine the existence of CI
. vecrank dallas houston
Johansen tests for cointegration
Trend: constant Number of obs = 166
Sample: 1990m3 - 2003m12 Lags = 2
-------------------------------------------------------------------------------
5%
maximum trace critical
rank parms LL eigenvalue statistic value
0 6 576.26444 . 46.8252 15.41
1 9 599.58781 0.24498 0.1785* 3.76
2 10 599.67706 0.00107
-------------------------------------------------------------------------------
. * estimate the VECM
. vec dallas houston
Vector error-correction model
Sample: 1990m3 - 2003m12 No. of obs = 166
AIC = -7.115516
Log likelihood = 599.5878 HQIC = -7.04703
Det(Sigma_ml) = 2.50e-06 SBIC = -6.946794
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
D_dallas 4 .038546 0.1692 32.98959 0.0000
D_houston 4 .045348 0.3737 96.66399 0.0000
----------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
D_dallas |
_ce1 |
L1. | -.3038799 .0908504 -3.34 0.001 -.4819434 -.1258165
|
dallas |
LD. | -.1647304 .0879356 -1.87 0.061 -.337081 .0076202
|
houston |
LD. | -.0998368 .0650838 -1.53 0.125 -.2273988 .0277251
|
_cons | .0056128 .0030341 1.85 0.064 -.0003339 .0115595
-------------+----------------------------------------------------------------
D_houston |
_ce1 |
L1. | .5027143 .1068838 4.70 0.000 .2932258 .7122028
|
dallas |
LD. | -.0619653 .1034547 -0.60 0.549 -.2647327 .1408022
|
houston |
LD. | -.3328437 .07657 -4.35 0.000 -.4829181 -.1827693
|
_cons | .0033928 .0035695 0.95 0.342 -.0036034 .010389
------------------------------------------------------------------------------
Cointegrating equations
Equation Parms chi2 P>chi2
-------------------------------------------
_ce1 1 1640.088 0.0000
-------------------------------------------
Identification: beta is exactly identified
Johansen normalization restriction imposed
------------------------------------------------------------------------------
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1 |
dallas | 1 . . . . .
houston | -.8675936 .0214231 -40.50 0.000 -.9095821 -.825605
_cons | -1.688897 . . . . .
------------------------------------------------------------------------------
. /*
> The first estimates table contain the short-run parameters; the two
> L._ce1 coefficients are the parameters in the adjustment matrix alpha.
> The estimate in the Dallas equation of -0.3 says that when the average
> price in Dallas is too high, it falls back toward the Houston level. The
> estimate in the Houston equation of 0.5 implies that when the average
> price in Dallas is too high, the average price in Houston adjusts toward
> the Dallas level.
>
> The second estimation table contains the estimated parameters of the
> cointegrating vector for this model as beta = (1, -0.868).
> */
. * check for stability; in a two-variable system with one CI vector, there
. * should be one unit modulus, with other roots strictly less than unity
. vecstable
Eigenvalue stability condition
+----------------------------------------+
| Eigenvalue | Modulus |
|--------------------------+-------------|
| 1 | 1 |
| -.4629886 | .462989 |
| .4558569 | .455857 |
| -.2304741 | .230474 |
+----------------------------------------+
The VECM specification imposes a unit modulus.
. * compute OIRFs from this system
. irf create vec1,set(vecintro) step(24)
(file vecintro.irf created)
(file vecintro.irf now active)
(file vecintro.irf updated)
. * graph responses to shocks in the two markets
. irf graph oirf, impulse(dallas houston) response(houston) saving(vecmirf,replace)
(note: file vecmirf.gph not found)
(file vecmirf.gph saved)
.
. log close
name: <unnamed>
log: /Users/baum/Documents/EC327S2010/327vecm.smcl
log type: smcl
closed on: 10 Mar 2010, 11:33:55
-----------------------------------------------------------------------------------------------------------------------------