trouble with code

Good day,

I have a portion of a code below. I have estimated a dynamic model.

yt = A1yt(-1) + A2xt(1) + A3xt(2) + A4xt(3)

I am trying to retrieve the long-run estimates of the parameters and their standard errors

a2 = A2/(1-A1); a3 = A3/(1-A1); a4 = A4/(1-A1)

I believe this is what the code below is trying to do; But for some reason, the long run estimates (ai's) appear to be the same as the short run's (Ai'). I have been trying to figure out why but can't appear to find where the error is. Any help? please?

Thanks,

Ozey

/* Long-run parameter estimates and s.e.";*/
 
/* for group1*/
bt1 = ththat1[3:k2+1]; phi1=ththat1[1];
 
p1 = (eye(k2-1)~(bt1./(1-phi1)))./(1-phi1);
 
bse1=p1*sb1[2:k2+1,2:k2+1]*p1';
 
/* for group2*/
bt2 = tht2hat[2:rows(tht2hat)]; phi2=tht2hat[2];
 
p2 = (eye(k2-1)~(bt2./(1-phi2)))./(1-phi2);
 
bse2=p2*se2*p2';
 
bt = bt1|bt2; 
bse = sqrt(diag(bse1))|sqrt(diag(bse2));
bt'|bse';

1 Answer

0

You are much more likely to get a helpful answer if you tell people specifically: which variables in the code correspond to which variables in the equations, what you expect from different sections of the code and what you actually found.

link

aptech

1,773