CATS is an add-on program to RATS: Regression Analysis of Time Series , the cointegration facilities in Microfit, and a beta version of PC-FIML 8 is. By David Tufte; CATS in RATS: cointegration analysis of time series: version . CATS in RATS: Cointegration Analysis of Time Series. Front Cover. Henrik Hansen, Katarina Juselius. Estima, – Cointegration – 87 pages.

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The Recursive Graphics dialog.

There are many common econometrics tasks can be handled exclusively using Wizards. Estimate With Non-Identifying Restrictions Estimating non-identifying restrictions will invalidate the calculation of t-values on: The precise condition on the deterministics under which the correction factor is valid is given in appendix B.

The weakly exogenous variables are included in levels in the cointegrating relations and in current and lagged differences in the short-run dynamics. Interestingly, the break in the largest eigenvalue that we saw in gure 4. All features of the program are illustrated by a worked example.

### TStat – O F F I C I A L – S I T E

First you load the data to be analyzed, then make any necessary transforma- tions of the data, and nally compile and execute CATS. Maximum likelihood estimation and inference on cointegration-with applications to the demand for money K Juselius Oxford Bulletin of Economics and Statistics 52 2, The restrictions are generically identifying if, for all i and k D 1;: The procedures are as described in the previous sections, and since they do not reveal evidence of non-constancy of the parameters, we shall limit ourselves to showing a few graphs to illustrate.

Citation In order for others to be able to catts your results, CATS should always be cited in any paper or publication where it is applied. Second, there is no automatic lag structure for a dummy variable, but you can use RATS’ regression format to include lags of a dummy variable if desired.

### Cointegration Analysis of Time Series | Nidia Garavito –

Exit terminates the CATS session. Unit Vector in Alpha tests if contains a unit vector paragraph 3.

Initially, we do not include any dummies apart from the seasonals or exogenous variables so there is only one supplementary card specifying the endogenous variables.

Restrictions on Beta imposes linear restrictions on each of the -vectors as described in para- graphs 5. Hence, we can infer that conditional on r D 2; no variable can be considered stationary by itself.

Allows you to choose between two formulations for specifying restrictions on and. The Exclude Entries dialog.

Furthermore, the r relations by? The rank, however, will be reset to its current value after the tests have been executed.

## ARCHIVED: In the STCs, how do I execute CATS procedures in RATS?

This motivates inclusion of the following seven dummies: The third special case also nested in H is the situation where we impose the same linear restrictions on all vectors in. The typical set-up le consist of three parts: Apart from the break, the estimates show very little time dependency indeed.

Note that tables are not available for all model speci cations. To load a model choose I Load Cointegrafion In other words, dt is included in DtR and 1dt is included in DtU see section 1. The plot of O 1 shows very clearly a break following the German reuni cation which has not been fully dealt with by including the shift dummy C. If you have speci ed an I. Finally, you need to specify a row-wise normalization of as described in section 3.

Only available when analyzing an I. This may be useful if the trend coef cients are very small. If this option is checked the screen output is also written to a le. The hypotheses we consider are linear hypotheses about the cointegration cointdgration or the loadings. In CATS, we use the rst formulation since it is most convenient for this kind of restrictions. Fluctuation test of the transformed eigenvalues based on backwards recur- sion for the X-form black cays and the R1-form grey line. This can be interpreted as a test of the hypothesis that the cumulated disturbances from the i’th variable do not enter the common trends as abalysis in paragraph 3.

If no sample range information is supplied, CATS will automatically detect the maximal feasible sample range and use that.

Test of log-likelihood constancy calculated from the backwards recursive estimation. The second permanent shock, identi ed as a PPP shock, has by de nition no long-run impact on the US bond rate. The UIP states that the difference between the German and US interest rates equals the expected change in the exchange rate, i.

In batch mode, RATS automatically reads and executes instructions from one or more input files, and saves the output to disk. This is illustrated in gure 3. This applies only to restrictions of the form R 0 D 0; recursive estimation of models with restricted as D. The estimated unrestricted relations are only uniquely determined in terms of the eigenvalue normal- 0 ization O S11 O D Ir.

## Global navigation

Here’s a look at the choices available on the Wizards menu as of Version 6. Hence, if we want to test the hypothesis that the cumulated disturbances from X 1 do not enter the common trends, i. Note that the tests for constancy qnalysis require that you have speci ed the rank of 5 to be less than p. Furthermore, the structural shocks are grouped into r transitory shocks, u Tand p r permanent shocks, cointegrztion P such that u t D u tT ; u tP.

An I 1 Analysis plying that 1lp1t 1lp2t and 1ls12 are I. If this condition is violated, the asymptotic distribution of the test is not necessarily 2 and you cannot rely on the reported p-value.

Dialog for inputting R corresponding to the hypothesis H. The rst relation is the interest parity suggested as a user relation, while the other is the in ation relation without the shift dummy C. The prices are transformed into in ation rates so the data vector to be analyzed is given by 0 X t D dp1t ; dp2t ; b1t ; b2t ; pppt ; 3.

This is the default setting.