Programing Restriction VECM

[JUAN FRANCISCO]

Hi,

I made a program to estimate a vec with 3 variables anda a moving sample. I need to introduce restriction on the alfas (a(2,1)=0, a(3,1)=0), but I dont understand the programming guide.
How can I write these restriction in the program?

Thanks,

[EViews Gareth]

Code: Select all

var v v.append(coint) a(2,1) =0, a(3,1)=0 v.ec(restrict) 1 3 x y w

[script]

Hello!
I have problems with programming restrictions on betas in VECM with 2 cointegration vectors. So when I estimate vecm with restrictions manually and then go to Capture, I see the following:

Code: Select all

var var01 var01.append(coint) B(1,1)=0, B(1,3)=0, B(2,2)=0, B(2,4)=0 var01.ec(c,2) 1 2 log(x) log(y) log(z) log(w)

But if I run this code in program it will not put restrictions on variables, so estimated vecms (manualy and by program) are different. Then I tried another way to put restritions (found in help):

Code: Select all

var var01 var01.append(coint) B(1,1)=0, B(1,3)=0, B(2,2)=0, B(2,4)=0 var01.ec(restrict) 1 2 log(x) log(y) log(z) log(w)

But then I had this error message:

Restrictions must be linearly independent in "DO_
VAR01.EC(RESTRICT) 1 2 LOG(x) LOG(y)
LOG(z) LOG(w)".

So how can I put restrictions on betas in program code?

[EViews Gareth]

You were close!

I'll see that the command capture get's tidied up.

The correct command should be:

Code: Select all

var01.ec(c,2, restrict) 1 2 log(x) log(y) log(z) log(w)

[script]

Thanks! Now it works!