Imposing restrictions on beta

A forum for questions and answers regarding the CATS cointegration procedure

Imposing restrictions on beta

Postby eco134 » Mon May 09, 2011 1:31 pm

As I work through the CATS manual, I decided to run the PPP example on page 375 of the RATS User Guide to compare the results. I ran the following:
*** STEP 1 ***
cal(m) 1973:1
open data exdata.rat
data(format=rats) 1973:1 1989:10 pc6it pzunew exritl
*** STEP 2 ***
*
* Transform and normalize the data series
*
set italcpi = 100*log(pc6it/pc6it(1973:1))
set uscpi = 100*log(pzunew/pzunew(1973:1))
set exrat = -100*log(exritl/exritl(1973:1))
*
set pusa = uscpi
set s = exrat
set pita = italcpi

*** STEP 3 ***
source c:\cats2\cats.src
@cats(lags=12,dettrend=none) 1973:01 1989:10
# pusa s pita

After this, I selected rank of Pi of 1 and then have tried to impose the restrictions consistent with pusa - s - pita (i.e., a beta of [1 -1 -1]). I have tried with both the beta = H*phi and the R'beta and the program always crashes. What am I doing incorrectly?
eco134
 
Posts: 3
Joined: Tue Sep 15, 2009 4:26 pm

Re: Imposing restrictions on beta

Postby moderator » Mon May 09, 2011 5:10 pm

If RATS is actually crashing, you need to email us at

support@estima.com

Include your full name and your RATS (or CATS) serial numbers. Also let us know specifically which version of RATS you are using -- you can do Help-About RATS from within the program to check.

Thanks,
Tom Maycock
Estima
moderator
Site Admin
 
Posts: 305
Joined: Thu Oct 19, 2006 4:33 pm

Re: Imposing restrictions on beta

Postby moderator » Tue May 10, 2011 2:34 pm

Update for anyone else following this:

It turns out that RATS wasn't crashing at all. It was simply taking a relatively long time to do the computations, due to the large number of lags.

Regards,
Tom Maycock
moderator
Site Admin
 
Posts: 305
Joined: Thu Oct 19, 2006 4:33 pm

Re: Imposing restrictions on beta

Postby dacanoo » Thu Jun 14, 2012 1:37 pm

Hi, is there any specific condition for the imposed restrictions on beta to be identifying?
dacanoo
 
Posts: 6
Joined: Tue Aug 30, 2011 7:27 pm


Return to CATS Questions

Who is online

Users browsing this forum: No registered users and 1 guest

cron