estimate_vec
Estimate and adopt a VEC model at a chosen rank, using Hessian standard errors and requiring a finished rank test or theory-based justification for non-proposed ranks.
Instructions
C2 — The adopted VEC at rank r (drvec.fit with -fdhess: the standard
errors from the Hessian at the optimum). REFUSES without a FINISHED
rank_test for the same specification (p, q, case, drifts, files), unless
the analyst adopts r on THEORY: theory says why, and it is written in
the guion as such, with the bootstrap's numbers beside it when they exist.
A rank other than the bootstrap's proposal needs theory too. r = 0 is
the VARMA in differences (drvarma, N2); r = M is not a VEC.
THE ROLES are asked for: normalise_on names the r series beta is
normalised on (the Y1 block); drvec's order is the others in the
session's order, then these. That order is also the Cholesky order of the
level responses, so another normalisation is ANOTHER FIT (this tool
again), never a reorder. Default: the last r of prepare_vec's order (the
I(0) series in the mixed case).
Reports drvec's .out blocks verbatim (parameters, the VEC's matrices, the
normalisation share, the residual diagnostics), alpha read from the matrix
(Johansen's sign), the canonical weights beside beta-hat, and the
optimiser's stopping criterion: a fit that stopped on a ridge (E1's
2 1 1 -case 2) is declared NOT A DEMONSTRATED MAXIMUM, with multistart
and a lower q offered. The .out's Wald tests are not citable (they depend
on the normalisation): restrictions go by LR (test_restriction).
Tool call template
Replace each placeholder with a value matching the input schema. Only required parameters are included; add optional parameters as needed.
{
"id": 1,
"jsonrpc": "2.0",
"method": "tools/call",
"params": {
"arguments": {
"name": "<name>",
"r": "<r>"
},
"name": "estimate_vec"
}
}Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| r | Yes | ||
| name | Yes | ||
| theory | No | ||
| multistart | No | ||
| normalise_on | No |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |