Hello,
I run the granger ECM and has the results as follows. Does anyone know how to Wald test the coefficient of lndmcyLD and lndmcyL2D and t test the coefficient of _egresidL1.
Thanks a lot for your help.
I run the granger ECM and has the results as follows. Does anyone know how to Wald test the coefficient of lndmcyLD and lndmcyL2D and t test the coefficient of _egresidL1.
Thanks a lot for your help.
. egranger lnrgdp lndmcy, lags(2) ecm
Engle-Granger 2-step ECM estimation N (1st step) = 27
Number of lags = 2 N (2nd step) = 24
Engle-Granger 2-step ECM
------------------------------------------------------------------------------
D.lnrgdp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_egresid |
L1. | -.0680111 .0198985 -3.42 0.003 -.1098163 -.0262059
|
lnrgdp |
LD. | .4946633 .2163127 2.29 0.035 .0402072 .9491195
L2D. | -.1662691 .1777204 -0.94 0.362 -.5396457 .2071075
|
lndmcy |
LD. | -.0309137 .0132338 -2.34 0.031 -.0587169 -.0031106
L2D. | -.0051403 .0055087 -0.93 0.363 -.0167136 .006433
|
_cons | .0481888 .0104509 4.61 0.000 .0262322 .0701453
------------------------------------------------------------------------------
Engle-Granger 2-step ECM estimation N (1st step) = 27
Number of lags = 2 N (2nd step) = 24
Engle-Granger 2-step ECM
------------------------------------------------------------------------------
D.lnrgdp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_egresid |
L1. | -.0680111 .0198985 -3.42 0.003 -.1098163 -.0262059
|
lnrgdp |
LD. | .4946633 .2163127 2.29 0.035 .0402072 .9491195
L2D. | -.1662691 .1777204 -0.94 0.362 -.5396457 .2071075
|
lndmcy |
LD. | -.0309137 .0132338 -2.34 0.031 -.0587169 -.0031106
L2D. | -.0051403 .0055087 -0.93 0.363 -.0167136 .006433
|
_cons | .0481888 .0104509 4.61 0.000 .0262322 .0701453
------------------------------------------------------------------------------
