CATS IN RATS COINTEGRATION ANALYSIS OF TIME SERIES PDF

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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Also, it allows for testing the nominal-to-real transformations often applied to facilitate I. Test of log-likelihood constancy calculated from the backwards recursive estimation. That the change in nominal exchange rate is non- stationary may not seem obvious when looking at the graph. With these capabilities, you can automate complex or repetitive tasks, and even write sophisticated menu- and dialog-driven end-user applications.

The preset histogram also contains some statistics; namely the univariate normality test discussed in appendix B. However, not all individual variables included in X t need be I. Almost any type of dummy variable or dummy-type variable will have this effect. As potential models are sorted rst by degrees of freedom, then by p-value, these relations are most likely to be discarded in the end. And, because the Wizards actually generate corresponding RATS instructions and paste them into the input window, you can save what you’ve done as a program file, which can then be re-executed at a later date with just a couple of mouse clicks.

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The test is performed for each i D 1;: Default value is 10 6. The expression for the correction factors can be found in the appendix: The graph clearly illustrates that German price index indeed looks as if it is integrated of order 2, and same is the case for the US price level illustrated in gure 5.

Restrictions on Each Beta Vector imposes restrictions on each of the vectors in. If this is the case, it is valid to condition on 1Wt and continue the analysis of and based on the model for 1Z colntegration which under the null is given by 0 1Z t D!

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Using a large base sample will also help avoid uctuations due to small sample issues in the beginning of the recursion. As an illustration, we plot the roots of the companion coimtegration for the models H1.

A matrix R for the restrictions on if any and a list of matrices H1 to Hss r for the restrictions on: In batch mode, RATS automatically reads and executes instructions from one or more input files, and saves the output to disk. See also paragraph 5. It includes improved versions of the old procedures and adds new features such as small rzts correction of tests for the cointegrating rank and hypotheses on ; estimation and hypothesis testing in the I.

The empirical support for u 1t to be stationary has generally been very weak, see inter alia Rogoff The trace test statistic and the asymptotic distribution of the statistics. The screen output from the procedure is given by: Di is included to accommodate for a shock in pppt apparently caused by a German price shock, and is given by Dit D 1ftD We see that this is the only variable that can be excluded.

In this case this equals 2, which we accept.

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

Had the model included any weakly exogenous variables, the coef cients to the differences would have been reported next. Usually, 0 is the full-sample estimate of but it can be based on any subsample period as described in section 4. 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. The matrix B de nes the structural shocks in terms of the VAR error terms and we choose to ppp normalize the permanent shocks on bt 2t and bt 1 as suggested by the procedure.

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Here you set the le format if the saved series are being written to a le, i. This model allows for the cointegrating relations to be trend-stationary and have non-zero intercepts.

Test for Weak Exogeneity to impose the restriction. Convergence Criterion Sets the convergence criterion for the switching algorithm. This shows that the I. 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.

Based on arguments in Juselius and MacDonald and Chapter 21 in Juseliusone can combine 3.

The pooled set of accepted models are ranked by degrees of freedom and p-value and the top ten models are reported to the screen. Calculation of the correction factor for tests of hypotheses on is limited to a number of the most common situations: The default is no anaalysis dummies.

Q Hence by construction, the transitory shocks have no permanent impact on the model variables. Cointegration Analysis of Time Series. Furthermore, you can specify if you want these written in brackets below the respective estimates or in a separate array. The sample range is set to We have, however, included the possibility of calculating the estimate of the matrix C and? Preferences opens the User Settings dialog described in paragraph 2.