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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Scale Restricted Trend by: We assume that b D e1 and r D 2; and consider the hypothesis H: Further details in paragraph 3. The Base Sample As described above, the base sample is the starting point of the estimation.
The empirical support for u 1t to be stationary has generally been very weak, see inter alia Rogoff The matrix B de nes the structural shocks in terms of the VAR error terms and we choose to ppp normalize the permanent shocks rata bt 2t and bt 1 as suggested by the procedure. The Multivariate Cointegration Model we obtain a model that allows for linear trends in all directions, also in the multi-cointegrating relations de ned below, while it excludes quadratic and cubic trends.
Usually, 0 is the full-sample estimate of but it can be based on any subsample period as described in section 4. We shall return to the transformation when we discuss analysis of I. Restrictions on Beta imposes linear restrictions on each of the -vectors as described in para- graphs 5.
Manual to Cointegration Analysis of Time Series CATS in RATS – Google Books
You can also change the formulation type rata the User Settings dialog where you can specify the default formulation, see 2. Choose I I 1: Note that if we had chosen r D 3, pppt would be purely adjusting and no longer weakly exogenous as veri ed by the previous output table.
The third special case also nested in H is the situation where we impose the same linear restrictions on all vectors in. Settings for the CATSmining procedure.
Dialog for specifying normalization of the transformation matrix B. Also, by introducing the dummies, some of the problems with autocorrelation and ARCH noted earlier, are likely to improve.
If you add more xed relations it is not strictly necessary to generate the set anew since non-identifying structures will be ruled out anyway. Although the book is certainly not required to use CATS, we think anyone interested in cointegration analysis, and particularly anyone using CATS to do cointegration analysis, will find it extremely helpful.
TStat – O F F I C I A L – S I T E
Note timd this test can be used even if the cointegrating space is not identi ed, since there are no assumptions about the individual coef cients. A brief description of the estimation technique is given in appendix A. The implication of 1ls12t being I. Select- ing this option, you allow the CATSmining procedure to consider relations that do not include the restricted deterministic term.
However, it is not only the determinis- tic components that change the asymptotic distributions: The coef cients are related to those of model 1.
Finally, choosing Reset Sample will set the sample range to the maximal sample range. Max Number of Iterations: In general, the hypothesis is expressed as H: Same Restrictions on a Group of -vectors.
File for Saving Series: You specify which series analusis save from a dialog similar to the one shown in gure 4.
CATS in RATS. Cointegration Analysis of Time Series
RATS can handle time series of virtually any frequency, including daily and weekly, as well as panel and cross-section data. You will be prompted for a column-wise normalization of? Restrictions on Subsets of Beta to open the di- alog for specifying the subsets as illustrated in gure 3. Restrictions on Each Beta ocintegration. Select which relations you wish to include in the procedure and close the window. As discussed in section 1.
The last section of the output presents some univariate statistics based on the estimated residuals of each equation: List of User Relations dialog for choosing which user relations to include in the search procedure. 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. The editor also offers more than 40 menu-driven Wizards that provide point-and-click access to most common tasks, including reading cointegrration, displaying graphs, doing transformations, estimating a variety of models, and hypothesis testing.
Note that in the likelihood-based procedure, the test applied in connection with the determination of the cointegration rank is a multivariate version of the Dickey-Fuller test.
Note that if is restricted before you input R; these restrictions are available as Current Restrictions. The restriction design matrix for the German in ation relation, H1: This is the case if you 1 If you have xed m user relations, it will be checked that all the basic relations together with the m xed relations identify an m C 1 dimensional space.
As indicated in the screen output, the reported Bartlett correction is based on the basic model, that is, the model without the shift and dummy variables. Similarly, a broken trend in Exit terminates the CATS session. Residual Analysis and produces the output shown below.