I have a portion of a code below. I have estimated a dynamic model.
yt = A1yt(-1) + A2xt(1)+ A3xt(2) +A4 xt(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?
/* Long-run parameter estimates and s.e.";*/
/* for group1*/
bt1 = ththat1[3:k2+1]; phi1=ththat1;
p1 = (eye(k2-1)~(bt1./(1-phi1)))./(1-phi1);
/* for group2*/
bt2 = tht2hat[2:rows(tht2hat)]; phi2=tht2hat;
p2 = (eye(k2-1)~(bt2./(1-phi2)))./(1-phi2);
bt = bt1|bt2; bse = sqrt(diag(bse1))|sqrt(diag(bse2));