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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Log In Sign Up. The correction factor is based on the ‘basic model’. The typical set-up le consist of three parts: Cointegrtaion restrictions are imposed using the dialog shown in gure 3. Much more extensive cross-referencing.
Variable Stationarity will execute the stationarity tests of each variable generating the output shown below. Including weakly exogenous variables will also change the asymptotic distribution.
This is the default choice and corresponds to model H. If there are more than ten models, the details of the remaining ones are written to the le miningoutput.
You can also change the formulation type in the User Settings dialog where you can specify the default formulation, see 2. If and have full rank rJohansen shows that the I. A portion of the resulting rime is shown in the output window:.
CATS in RATS. Cointegration Analysis of Time Series — Economics E-Journal
Note that if we had chosen r D 3, pppt would be purely adjusting and no longer weakly exogenous as veri ed by the previous output table. The editor also offers more than 40 menu-driven Wizards that provide point-and-click access to most common tasks, including reading data, displaying graphs, doing transformations, estimating a variety of models, and hypothesis testing.
For the R1-form, the test is at a high level in these periods, but not rejected. In the rst case, you can let CATS generate the le name—the name and location of the le is reported to the output window cointegragion you are able to cointegratoon it—or you can choose to be prompted for the le name.
In this case we see that until end ofthe test statistic for both forms is larger than one, but overall, the model does quite well in this test. Below deries discuss two special cases of the model 1. Here you set the le format if the saved series are being written to a le, i. The User Settings dialog. This is illustrated in gure 3. To execute the set-up le, open the le in RATS and set it as input window. In these cases, it is a good idea to look at the graphical behavior of the estimated cointegration rela- tions before deciding about the choice of r.
Save and specify a le name and location. Cointegration analysis of time series, Estima We shall return to the transformation when we discuss analysis of I. This is because the persistent I. Calculation of the rank condition 1.
CATS in RATS. Cointegration Analysis of Time Series
Save Series allows you to save certain key series; see section 6. This is described in detail in the appendix, see equation B. Note that this option is only available when you are analyzing an I.
This implies that 5 can be written as 5 D 0 where and are p r matrices of full column rank, and hence the hypothesis of cointegration is formulated as a reduced rank condition on the 5 1 The complex number z 2 C is a root of A if jA. Models containing structural breaks are discussed in Johansen, Mosconi, and Nielsenwhere a response surface approximation to the asymptotic distribution of the rank test is reported for some model speci cations. This is just an illustration that economic signi cance is not necessarily the same as statistical signi cance.
Should the restrictions not formally identify the cointegrating space, the dialog box shown in gure 3. When the hypothesis is accepted, one has the number of unit-roots and thereby the number of cointegration vectors.
Fluctuation test of the transformed eigenvalues based on backwards recur- sion for the X-form black line and the R1-form grey line. The nal graph produced is shown in gure 4. The dialog for de ning the restriction design matrix H given by equation 3. In the past decade, CATS has become one of the standard tools for performing likelihood based cointegration analysis.
As a matter of fact, this hypothesis can be accepted with a p-value of 0: Since the true parameter values are unknown, the ‘ i ‘s are substituted with random vectors and the rank condition is interpreted as 0 Pi. This feature is described in section 6.
CATS 2 is more or less streamlined to support the empirical method- ology advocated herein. For large models this step may be very time consuming and can generate a vast number of stationary relations.
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. For example, EXO is a switch option for indicating that the model includes weakly exogenous variables. Oxford Bulletin of Economics and Statistics 76 2,