June 5, 2020

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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Stationarity of Auto-Generated Relations: The set is generated given the xed user relations, which means that you should input and x user relations before generating the basic relations in order to keep the set as small as possible.

Furthermore, you can specify if you want these written cointgration brackets below the respective estimates or in a separate array. Sets the convergence criterion for the -switching algorithm. However, since b2 is very important from an economic point of view, it would be meaningless to exclude it. Here is an example of one of these Wizards. Any other model found by the procedure can also be loaded.

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

We note that the US bond rate is not affected by the second common trend, whereas it in uences the German bond rate. A detailed treatment of partial models can be found in Harbo et al. An example of likelihood inference in a multivariate time-series rags K Juselius Journal of econometrics 69 1, We see that this is the only variable that can be excluded. Cointegratioh can run jobs several ways: To nd cointegration between nonstationary variables, only two of the variables have to be I.


CATS Cointegration Analysis

Had the model included any weakly exogenous variables, the coef cients to the differences would have been reported next. Most procedures supplied with RATS now save output as “titled” reports, which can be easily recalled for viewing, exporting, or copying and pasting using the Report Windows operation.

Since a positive shock to pppt corresponds to an appreciation of the DM, we note that the effect fo the German economy is higher in ation and a lower bond rate which can be explained by a lower demand for currency to nance government de cit.

In order to use the interactive interface, your system must support X Windows, and the Motif libraries must be available. The default lag length is k D 2. The default is no seasonal dummies.

The conditions under which ij and ij are identi ed are described in detail in chapter 5 in Coiintegration Even though it is to a fairly large extent self-contained, a much more detailed discus- sion is given in the aforementioned book by Katarina Juselius.

These relations are usually referred to as the multi- or polynomially cointegrat- ing relations.

CATS in RATS: cointegration analysis of time series: version 1.01

As noted earlier, the choice of the cointegrating rank r should be based on a well-speci ed model, so we recommend that you use the residuals from the unrestricted model to decide whether your model is acceptable or not. This will result in the following output: The restrictions on can be expressed in two different ways: This may be useful if the trend coef cients are very small.


To execute the test procedure, choose I Automated Tests: 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 analtsis helpful. In the rtas we shall discuss four special cases of the model 1. Hence the hypothesis can formally be expressed as H: If these are not available, the program can only be run in batch mode.

The same com- ments apply. In batch mode, RATS automatically reads and executes instructions from one or more input files, and saves the output to disk. Test for Unit Vectors in Alpha to open the menu in gure 3.

CATS in RATS. Cointegration Analysis of Time Series — Economics E-Journal

It is the default speci cation of the deterministic components in CATS. Hence DpTAX measures the average effect of the three tax policy changes. Note that excluding a certain difference means that it will be excluded from all equations; you cannot exclude regressors from one equation only. Sereis follows from 1.

As an example, we impose the identifying structure discussed in paragraph 3.