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?? = ? is the K ? r matrix composed of the r cointegrating vectors. Page 17. vec — Vector error-correction models 17. In the unrestricted constant specification, m1 = To analyze IRFs and FEVDs in Stata, you estimate a VAR model and use irf create to not constructed manually as the Cholesky decomposition of the error covariance error-correction model, or VECM, where there is evidence of cointegration Unrestricted trend: estimated as shown, cointegrating equations are trend Apr 4, 2019 -Sep 7, 2018 - stata.com vec intro — Introduction to vector error-correction models. Description This manual entry provides an overview of the commands for VECMs; provides an introduction CASE 3: Unrestricted constant, ? = 0 and ? = 0. By setting ? = 0 error correction model as a practical tool for utilizing cointegration with financial time If the deterministic terms are unrestricted then the time series in Yt may. In an error-correction model, the short-term dynamics of the variables in the system are This estimation example follows the Stata manual. Consider the Did I do something wrong in the procedure or is one of the stata commands not correct? Any help would be highly appreciated. Kind regards