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Posted: **Tue Mar 13, 2012 6:19 am**

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,

Posted: **Tue Mar 13, 2012 8:21 am**

Code: Select all


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

Posted: **Tue May 03, 2016 4:41 am**

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?

Posted: **Tue May 03, 2016 6:18 am**

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)

Posted: **Tue May 03, 2016 10:47 pm**

Thanks! Now it works!

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