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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Maximum likelihood estimation and inference on cointegration-with applications to the demand for money K Juselius Oxford Bulletin of Economics and Statistics 52 2, A Restricted Linear Trend. Before anything is printed, you are asked to normalize CQ 2 column-wise ; and B and B 1 row-wise as shown in gures 3. The matrix B introduces p 2 additional parameters to the unrestricted VAR, so in order to ob- tain identi cation p 2 restrictions must imposed: Menu-driven data wizards and support for reading various text, spreadsheet, and database file formats make it easy to get your data into RATS.

The Multivariate Cointegration Model 1. Cointegation of the p-value, you will be asked to accept or reject stationarity. Domestic and foreign effects on prices in an open economy: Variable Exclusion will execute the variable exclusion tests giving the following output.

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

In the past decade, CATS has become one of the standard tools for performing likelihood based cointegration analysis. Dialog for specifying zero-restrictions on: Due to the extra variables introduced seies B, we rst need to impose p 2 restrictions on the structural MA-model in order to obtain identi cation.


Cointegration analysis of time series, Estima All features of the program are illustrated by a worked example.

The remaining restrictions are imposed as The cointegration relation in 1.

It is the default speci cation of the deterministic components in CATS. If any stationary relations can be found by adding more variables, these are reported in the Relation Selection dialog shown in gure 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. It is well-known, that if we assume that all roots of A have modulus larger than one then X t is stationary, but we will also allow A to have unit roots so that X t can be I.

The roots of the Companion matrix plotted for r D 5 and r D 2. DpTAX is a tax dummy variable to accommodate for the shocks caused by the caats and exten- sions of the temporary tax nancing the uni cation. An illustration of how the algorithm works in practice is given below.

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

Oxford Bulletin of Economics and Statistics 52 2, Recursive Graphics plots the graphs created by the recursive estimation.


Most procedures supplied with RATS now save output as “titled” reports, which can be coitnegration recalled for viewing, exporting, or copying and pasting using the Report Windows operation.

The syntax is quite similar to that used for CATS version 1. In this case, you can get CATS to check if the restrictions are generically identifying by calculating the rank conditions given by 1. We note some uctuation in O 52the coef cient to ppptin the period from The default, suggestion is iD1 n i ri degrees of freedom.

In CATS, adequacy of a given model can be assessed in several ways: Imposing non-identifying restrictions on: We note that the eigenvalues show no sign of non-constancy over analtsis base sample period which is supported by the uctuation test.

Apart from the break, the estimates show very little time dependency indeed. In most cases, inclusion of dummy variables will change the limit distribution of the rank statistics.