cointegration output with restrictions
Posted: Thu Jul 26, 2018 3:17 pm
This may be a newbie question. I've imposed restrictions on the cointegration equation in a VEC model. The result I see shows only the coefficients on the cointegrating equation, but nothing else -- no standard errors, R-squared, etc. Is there a way to do this?
I can get full regression output via the COINTREG command -- but I don't see any way to impose restrictions with this command and get any resulting output. Any suggestions?
I can get full regression output via the COINTREG command -- but I don't see any way to impose restrictions with this command and get any resulting output. Any suggestions?