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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To load a model choose I Load Model The restrictions are generically identifying if, for all i and k D 1;: Sets the lag length k of the original VAR-model given by the equations 1.

The dialog for selecting restrictions on when is restricted as R 0 D 0: It includes improved versions analysls the old procedures and adds new features such as small sample correction of tests for the cointegrating rank and hypotheses on ; estimation and hypothesis testing in the I.

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This means that if m s1then the two spaces should intersect only at f0g. The Exclude Entries dialog. R 0 D 0; where, in our case, R is de ned by R D. If your model has many cointegrating relations, xing a part of them can signi cantly reduce the computa- tion time for the model selection procedure.

Furthermore, you are allowed to add your own user relations to C1and even specify that one or more relations must be included in any structure. Same Restrictions on All Tau imposes the same linear restrictions on all -vectors. You can also change the formulation type in the User Settings dialog where you can specify the default formulation, see 2.

Models containing user relations are preferred to ones that are not.

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

off To save space we only show the top model: This is also a special case of H which can be formulated as 0 H2: Any other model found by the procedure can also be loaded. Starting from a base sample, X kC1 ;: Load to open the dialog shown in gure 3. If the selected relations fail any of these tests, you will be noti ed. As an illustration, we will input a relation based on the real interest rate parity b2t dp2t D b1t dpc1t discussed in paragraph 3.


The graph seems to give support for this assumption.

Restrictions on Subsets of Beta to open the di- alog for specifying the subsets as illustrated in gure 3. Fluctuation test of the transformed eigenvalues based on backwards recur- sion for the X-form jn line and the R1-form grey line. Roots of the Companion Matrix plots the roots of the companion matrix. The fields 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 naalysis options such as the Robust Standard Errors correction.

Check Rank Conditions calculates the rank conditions as de ned by equation 1. The Multivariate Cointegration Model 1. The statistical analysis of the VAR model is derived under the assumption that the parameters of the model are constant.

The editor also includes menu-driven Wizards for many tasks, including reading in data, running regressions, doing hypothesis tests, graphing results, and more. Set Reduced Seriez opens the dialog for specifying the reduced ranks r and s2 anwlysis described in paragraph 5.

Normalizing the i’th eigenvector on its rst entry will result in a relation given by 1 1 i D 1; i2 i1 ;: Finally, Z 3t has dimension p3 D p. Here we accept the suggested normalization on b1b2and ppp and get the following screen output: The estimated unrestricted relations are only uniquely determined in terms of the eigenvalue normal- 0 ization O S11 O D Ir.

In our case, nine models are found and reported to the output window. All models will be available for loading until you run the CATSmining procedure again. There are many common econometrics tasks can be handled exclusively using Wizards.

Cointegration Analysis of Time Series | Nidia Garavito –

To impose the restriction again, we choose I Restrictions on Subsets of Betaspecify one group containing both raats and set the number of restrictions to 1. Thus the roots of A provide a diagnostic tool not only to determine the rank of 5, but also to detect I.


Below, if an option has a default value it is the value in brackets, [ ]. User-defined reports can be formatted to include TeX mathematical expressions.

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In our case, we have chosen to include the shift dummy C. Corresponding to the identi cation scheme for the permanent shocks, we choose to normalize the two rst permanent shocks on b2 and ppp. Major differences between the X-form and R1-form plots may signal problems with the short-run parameters. A matrix R for the restrictions on if any and a list of matrices H1 to Hss r for the restrictions on: Hence, using centered dummies does not change the limit distribution of the rank tests as opposed to the uncentered dummies.

Another diagnostic tool is the plot of the roots of the companion matrix which gives you information about the pk roots describing the dynamic properties of the process.

The syntax is quite similar to that used for CATS version 1. To demonstrate some interpretations xats the model, we will discuss two cases in a 3-variable model with two lags and no deterministic components: Hence, excluding a difference will correspond to imposing a zero column on the 0-matrices of the error correction model 1. This option will reset all user settings to the values saved in the le mycats. It is important to understand their role in the model, partly because a correct speci cation is crucial for good model estimates, and partly because the asymptotic distribution of the test for the ciontegration of cointegrating relations changes depending on what assumptions are made regarding these terms.