vec.hlp

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{smcl}
{* 09mar2005}{...}
{cmd:help vec}{right:dialog:  {bf:{dialog vec}}{space 15}}
{right:also see:  {help vec postestimation}}
{hline}

{title:Title}

{p2colset 5 17 19 2}{...}
{p2col :{hi:[TS] vec} {hline 2}}Vector error-correction models{p_end}
{p2colreset}{...}


{title:Syntax}

{p 8 13 2}
{cmd:vec} {varlist} {ifin} [{cmd:,} {it:options}]

{synoptset 31 tabbed}{...}
{synopthdr}
{synoptline}
{syntab:Model}
{synopt :{opt r:ank(#)}}use {it:#} cointegrating equations; default is
{cmd:rank(1)}{p_end}
{synopt :{opt la:gs(#)}}use {it:#} for the maximum lag in underlying VAR model{p_end}
{synopt :{opt t:rend}{cmd:(}{opt c:onstant}{cmd:)}}include an unrestricted constant in model; the default{p_end}
{synopt :{opt t:rend}{cmd:(}{opt rc:onstant}{cmd:)}}include a restricted constant in model{p_end}
{synopt :{opt t:rend}{cmd:(}{opt t:rend}{cmd:)}}include a linear trend in the
cointegrating equations and a quadratic trend in the undifferenced data{p_end}
{synopt :{opt t:rend}{cmd:(}{opt rt:rend}{cmd:)}}include a restricted trend in
model{p_end}
{synopt :{opt t:rend}{cmd:(}{opt n:one}{cmd:)}}do not include a trend or a
constant model{p_end}
{synopt :{opt bc:onstraints(constraints_bc)}}place {it:constraints_bc} on
cointegrating vectors{p_end}
{synopt :{opt bc:onstraints(constraints_ac)}}place {it:constraints_ac} on
adjustment parameters{p_end}

{syntab:Adv. model}
{synopt :{opt si:ndicators(varlist_si)}}include normalized seasonal indicator
variables {it:varlist_si}{p_end}
{synopt :{opt noreduce}}do not perform checks and corrections for collinearity
among lags of dependent variables{p_end}

{syntab:Reporting}
{synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synopt :{opt nobt:able}}do not report parameters in the cointegrating equations{p_end}
{synopt :{opt noid:test}}do not report the likelihood-ratio test of
overidentifying restrictions{p_end}

{synopt :{opt al:pha}}report adjustment parameters in separate table{p_end}
{synopt :{opt pi}}report parameters in Pi=(alpha)(beta)'{p_end}
{synopt :{opt nopt:able}}do not report elements of Pi matrix{p_end}
{synopt :{opt m:ai}}report parameters in the moving-average impact
matrix{p_end}
{synopt :{opt noet:able}}do not report adjustment and short-run
parameters{p_end}
{synopt :{opt dforce}}force reporting of short-run, beta, and alpha parameters
when the parameters in beta are not identified; advanced option{p_end}

{syntab:Max options}
{synopt :{it:{help vec##maximize_options:maximize_options}}}control the maximization process; seldom
used{p_end}
{synoptline}
{p2colreset}{...}
{p 4 6 2}You must {helpb tsset} your data before using {cmd:vec}.{p_end}
{p 4 6 2}{varlist} must contain at least two variables and may contain
time-series operators; see {help tsvarlist}.{p_end}
{p 4 6 2}{cmd:by}, {cmd:rolling}, {cmd:statsby}, and {cmd:xi} may be used with
{cmd:vec}; see {help prefix}.{p_end}
{p 4 6 2}See {help vec postestimation} for additional capabilities of
estimation commands.{p_end}
{p 4 6 2}{cmd:vec} does not allow gaps in the data.{p_end}


{title:Description}

{pstd}
{cmd:vec} estimates the parameters in vector error-correction models (VECMs)
using Johansen's maximum likelihood method.  Constraints may be placed
on the parameters in the cointegrating equations or on the adjustment terms.


{title:Options}

{dlgtab:Model}

{phang}
{opt rank(#)} specifies the number of cointegrating equations;
{opt rank(1)} is the default.

{phang}
{opt lags(#)} specifies the maximum lag to be included in the underlying VAR
model.  The maximum lag in a VECM is one smaller than the maximum lag in the
corresponding VAR in levels; the number of lags must be greater than zero but
small enough so that the degrees of freedom used up by the model are fewer
than the number of observations.  The default is {cmd:lags(2)}.

{phang}
{opt trend(trend_spec)} specifies which of Johansen's five trend
specifications to include in the model.  These specifications are discussed in
{it:Specification of constants and trends} of {hi:[TS] vec}.  The default is
{cmd:trend(constant)}.

{phang}
{opt bconstraints(constraints_bc)} specifies the constraints to be placed on
the parameters of the cointegrating equations.  When no constraints are placed
on the adjustment parameters{hline 2}that is, when the {opt aconstraints()}
option is not specified{hline 2}the default is to place the constraints
defined by Johansen's normalization on the parameters of the cointegrating
equations.  When constraints are placed on the adjustment parameters, the
default is not to place constraints on the parameters in the cointegrating
equations.

{phang}
{opt aconstraints(constraints_ac)} specifies the constraints to be placed on
the adjustment parameters.  By default, no constraints are placed on the
adjustment parameters.

{dlgtab:Adv. model}

{phang}
{opt sindicators(varlist_si)} specifies the normalized seasonal indicator
variables to include in the model.  The indicator variables specified in this
option must be normalized as discussed in Johansen.  If the indicators
are not properly normalized, the estimator of the cointegrating vector does
not converge to the asymptotic distribution derived by Johansen.  More
details about how these variables are handled are provided in 
Methods and Formulas of {hi:[TS] vec}.  {opt sindicators()} cannot be
specified with {cmd:trend(none)} or with {cmd:trend(rconstant)}.

{phang} 
{opt noreduce} causes {opt vec} to skip the checks and corrections for
collinearity among the lags of the dependent variables.  By default, 
{opt vec} checks to see if the current lag specification causes some of the
regressions performed by {opt vec} to contain perfectly collinear variables;
if so, it reduces the maximum lag until the perfect collinearity is removed.

{dlgtab:Reporting}

{phang}
{opt level(#)}; see {help estimation options##level():estimation options}.

{phang}
{opt nobtable} suppresses the estimation table for the parameters in the
cointegrating equations.  By default, {opt vec} displays
the estimation table for the parameters in the cointegrating equations.

{phang}
{opt noidtest} suppresses the likelihood-ratio test of the overidentifying
restrictions, which is reported by default when the model is overidentified.

{phang}
{opt alpha} displays a separate estimation table for the adjustment
parameters, which is not displayed by default.

{phang}
{opt pi} displays a separate estimation table for the parameters in
Pi=(alpha)(beta)', which is not displayed by default.

{phang}
{opt noptable} suppresses the estimation table for the elements of the Pi
matrix, which is displayed by default when the parameters in the cointegrating
equations are not identified.

{phang}
{opt mai} displays a separate estimation table for the parameters in the
moving-average impact matrix, which is not displayed by default.

{phang}
{opt noetable} suppresses the main estimation table that contains information
about the estimated adjustment parameters and the short-run parameters,
which is displayed by default.

{phang}
{opt dforce} displays the estimation tables for the short-run parameters and
alpha and beta{hline 2}if the latter two are requested{hline 2}when the
parameters in beta are not identified.  By default, when the specified
constraints do not identify the parameters in the cointegrating equations,
estimation tables are displayed only for Pi and the MAI.

{marker maximize_options}{...}
{dlgtab:Max options}

{phang}
{it:maximize_options}: {opt iter:ate(#)}, {opt nolo:g}, {opt tr:ace}, 
{opt toltr:ace}, {opt tol:erance(#)}, {opt af:rom(matrixa)}, 
{opt bf:rom(matrixb)}; see {help maximize}.  These options are seldom used.

{phang2}
{cmd:toltrace} displays the relative differences for the log likelihood and
the coefficient vector at every iteration.  This option cannot be specified if
no constraints are defined or if {cmd:nolog} is specified.

{phang2}
{opt afrom(matrix_a)} specifies a 1 * (K*r) row vector with starting values
for the adjustment parameters, where K is the number of endogenous variables
and r is the number of cointegrating equations specified in the {cmd:rank()}
option.  The starting values should be ordered as they are reported in
{cmd:e(alpha)}.  This option cannot be specified if no constraints are
defined.

{phang2}
{opt bfrom(matrix_b)} specifies a 1 * (m1*r) row vector with starting values
for the parameters of the cointegrating equations, where m1 is the number of
variables in the trend-augmented systema and r is the number of cointegrating
equations specified in the {cmd:rank()} option.  (See Methods and Formulas in
{bf:[TS] vec} for more details about m1.)  The starting values should be
ordered as they are reported in {cmd:e(betavec)}.  For some trend
specifications, {cmd:e(beta)} contains parameter estimates that are not
obtained directly from the optimization algorithm.  {cmd:bfrom()} should only
specify starting values for the parameters reported in {cmd:e(betavec)}.  This
option cannot be specified if no constraints are defined.


{title:Examples}

{phang}{cmd:. vec income consumption, alpha nobeta noetable}{p_end}

{phang}{cmd:. vec y i c, lags(5) rank(2) noetable}{p_end}

{phang}{cmd:. vec missouri indiana kentucky illinois, trend(rconstant) rank(2)}{p_end}


{title:Also see}

{psee}
Manual:  {bf:[TS] vec}

{psee}
Online:  {help vec postestimation};{break}
{helpb arima}, {helpb svar},  {helpb tsset}, {helpb var},
{helpb sureg}{p_end}