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?
/* 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); bse1=p1*sb1[2:k2+1,2:k2+1]*p1'; /* for group2*/ bt2 = tht2hat[2:rows(tht2hat)]; phi2=tht2hat; 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';
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.