### Using Cointreg in a VEC model

Posted:

**Mon Dec 29, 2014 4:52 pm**I wish to use variables in the cointegration portion of a VEC model, some of which will NOT be included in the VAR portion. Therefore the COINTREG routine naturally suggests itself. My difficulty is in a first step, trying to get 'up to speed.' That is, I'm unable to replicate the cointegration results of a simple VEC model estimate using COINTREG.

I do realize that the form of presentation is different in COINTREG and VEC, in that in a VEC model the cointegrating regression is represented by its error term, so that the dependent variable is given with a coefficient of 1.000. And of course the COINTREG must be estimated with a one period lag. But after allowing for these minor issues, the output of the COINTREG and VEC (cointegration portion) look very different indeed -- quite different degrees of significance, for example. Is there a simple way to do what I'm after, or am I missing something quite fundamental? Thanks, JS

I do realize that the form of presentation is different in COINTREG and VEC, in that in a VEC model the cointegrating regression is represented by its error term, so that the dependent variable is given with a coefficient of 1.000. And of course the COINTREG must be estimated with a one period lag. But after allowing for these minor issues, the output of the COINTREG and VEC (cointegration portion) look very different indeed -- quite different degrees of significance, for example. Is there a simple way to do what I'm after, or am I missing something quite fundamental? Thanks, JS