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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This is con rmed by the graphs naalysis the residuals znalysis, particularly for the bond rate, we see a period of high volatility from late to the beginning of ; a seried characterized by an appreciation of the US dollar.

MA Representation will print the matrices of the moving average representa- tion 1. It is the default setting of the deterministic components in CATS. Dialog for specifying normalization of the inverse transformation matrix B 1. The editor works similarly if you are using the R 0 D 0 restriction formulation. 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 rate quadratic and cubic trends.

If we now take a look at the graphics, we note that the dummies have taken care of the large residuals in the dpc1t equation. The parameter ‘ has dimension. First, you specify the restrictions, typically by inputting a number of design matrices. Unit Rags in Alpha tests if contains a unit vector paragraph 3.

To impose the restrictions, select I Cointegratino 1: Preferences you do not need to source cats. The cointegratiob in the dialog box allow you to select the estimation method and dependent variable, add any existing series as contemporaneous or lagged regressors or instruments, adjust the sample range, and turn on options such as the Robust Standard Errors correction.

Note that if is unrestricted or if weak exogeneity is imposed, the t-values of? In our case, nine models are found and reported to the output window. The correction factor is based on the ‘basic model’. Below we give a description of the different options available.

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In order to get a more symmetric representation, the eigenvalues can be transformed as O i D log. This also allows you to use the Wizards to build complete programs that can be re-executed again later. In the output, each relation is normalized on the element with largest absolute value. DtR can also contain levels of any weakly exogenous variables in the model, while DtU contains their lagged differences.

Note that a reordering of the variables may be necessary in order to obtain a desired identi cation of the shocks. This is the default choice and corresponds to model H. We shall refer to the model 1.

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

More flexibility for reading spreadsheet files. If we assume that is restricted as D. The backwards recursively calculated trace test statistics.

The same com- ments apply. The full information maximum likelihood procedure for inference on cointegration-with applications S Johansen, K Juselius University of Copenhagen. In this case you may experience that a model with fewer degrees of freedom are ranked higher than one with more degrees of freedom. In this case, the reported critical values correspond to the model without the dummies.

If you are analyzing a CIDRIFT model, the critical values are approximated as in Doornik and approximated cointegraiton are reported in brackets below the test statistics. All features of the program are illustrated by a worked example. However, we note that a likelihood ratio test for signi cance of Kn. This option is only available after recursive estimation has been performed.

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You will then be prompted for the row-wise normalization of. In lines CATS is nally launched by executing the last two lines of the set-up le de ning a 5-variate VAR 2 with an unrestricted constant and monthly centered dummies. Note that 0 the trend and constant cointegratioj not depend on the initial values.

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In this alternative parameterization, 0 X t is I.

An example is given in paragraph 5. The prices are transformed into cointegrafion ation rates so the data vector to be analyzed is given by 0 X t D dp1t ; dp2t ; b1t ; b2t ; pppt ; 3. Finally, as a special case, assume that Wt in 1. As previously discussed see section 3.

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

The approximation is limited to the situation with 1 or 2 breaks. However, you can help us improve the program by reporting any bug or inconvenient behavior you come across to support estima. We also support Intel-based PC’s running Linux.

Maximum likelihood estimation and inference on cointegration—with applications to the demand for money S Johansen, K Juselius Oxford Bulletin of Economics and statistics 52 2, Also, by introducing the dummies, some of the problems with autocorrelation and ARCH noted earlier, are likely to improve.

Below we discuss two special cases of the model 1. It is our belief, that the improved features of CATS 2, making it work more like an expert system, will greatly improve your productivity by allowing you to focus on understanding and interpreting your results, rather than spending your time on time-consuming calculations.

As mentioned above, the set of basic relations may be large, and it may also contain many almost identical relations which will result in many almost identical structures when you run the model selection procedure.

Plot of the Max Test of constancy of for the X-form black line and the R1-form grey line. Recursive Estimation or I Graphics: