vecrank.hlp

是一个经济学管理应用软件 很难找的 但是经济学学生又必须用到

{smcl}
{* 08mar2005}{...}
{cmd:help vecrank}{right:dialog:  {bf:{dialog vecrank:vecrank}}}
{hline}

{title:Title}

{p2colset 5 21 23 2}{...}
{p2col :{hi:[TS] vecrank} {hline 2}}Estimate the cointegrating rank using Johansen's framework{p_end}
{p2colreset}{...}


{title:Syntax}

{p 8 19 2}
{cmd:vecrank} {depvar} {ifin} [{cmd:,} {it:options}]

{synoptset 26 tabbed}{...}
{synopthdr}
{synoptline}
{syntab:Model}
{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 an 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}

{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 notr:ace}}do not report of the trace statistic{p_end}
{synopt :{opt m:ax}}report maximum-eigenvalue statistic{p_end}
{synopt :{opt i:c}}report information criteria{p_end}
{synopt :{opt level99}}report 1% critical values instead of 5% critical 
  values{p_end}
{synopt :{opt levela}}report both 1% and 5% critical values{p_end}
{synoptline}
{p2colreset}{...}
{pstd}You must {helpb tsset} your data before using {cmd:vecrank}.{p_end}
{pstd}{depvar} may contain time-series operators; see {help tsvarlist}.
{p_end}
{pstd}{cmd:by} and {cmd:rolling} may be used with {cmd:vecrank}; see 
{help prefix}.{p_end}
{pstd}{cmd:vecrank} does not allow gaps in the data.{p_end}


{title:Description}

{pstd}
{cmd:vecrank} produces statistics used to determine the number of
cointegrating equations in a vector error-correction model (VECM).


{title:Options}

{dlgtab:Model}

{phang}
{opt lags(#)} specifies the number of lags in the VAR representation of the
model.  The VECM will include one fewer lag of the first-differences.  The
number of lags must be greater than zero but small enough so that the degrees
of freedom used up by the model are less than the number of observations.

{phang}
{opt trend(trend_spec)} specifies one of five trend specifications to include
in the model.  See {help vec intro} and {helpb vec} for descriptions.  The
default is {cmd:trend(constant)}.

{dlgtab:Adv. model}

{phang}
{opt sindicators(varlist_si)} specifies normalized seasonal indicator
variables to be included in the model.  The indicator variables specified in
this option must be normalized.  If the indicators are not properly
normalized, the likelihood-ratio-based tests for the number of cointegrating
equations do not converge to the asymptotic distributions derived by Johansen.
For details, see Methods and Formulas of {bf:[TS] vec}.  
{opt sindicators()} cannot be specified with {cmd:trend(none)} or
{cmd:trend(rconstant)}.

{phang} 
{opt noreduce} causes {cmd:vecrank} to skip the checks and corrections for
collinearity among the lags of the dependent variables.  By default, 
{cmd:vecrank} checks if the current lag specification causes some of the
regressions performed by {cmd:vecrank} to contain perfectly collinear
variables and reduces the maximum lag until the perfect collinearity is
removed.  See Collinearity in {bf:[TS] vec} for more information.

{dlgtab:Reporting}

{phang}
{opt notrace} requests that the output for the trace statistic not be
displayed.  The default is to display the trace statistic.

{phang}
{opt max} requests that the output for the maximum-eigenvalue statistic be
displayed.  The default is to not display this output.

{phang}
{opt ic} causes the output for the information criteria to be displayed.  The 
default is to not display this output.

{phang}
{opt level99} causes the 1% critical values to be displayed instead of
the default 5% critical values.

{phang}
{opt levela} causes both the 1% and the 5% critical values to be displayed.


{title:Examples}

{phang}{cmd:. vecrank y i c, lags(5)}{p_end}

{phang}{cmd:. vecrank y i c, lags(5) level99}{p_end}

{phang}{cmd:. vecrank y i c, lags(5) max levela notrace}{p_end}

{phang}{cmd:. vecrank y i c, lags(5) ic notrace}{p_end}


{title:Also see}

{psee}
Manual:  {bf:[TS] vecrank}{p_end}

{psee}
Online:  {helpb tsset}, {helpb vec}{p_end}