CATs into RATs Example

[macro_man]

Dear Estima:

I am trying to find an example of someone imposing indentifying restrictions on the cointegrating vector(s) using CATs and then bringing the VECM model into RATS to estimate it. Any suggestions? Thanks.

[macro_man]

After thinking this through, here is what I should have said in the previous post. I want to estimate a SVECM using BQ long-run restrictions using the short and long-run restrictions code you provide. It seems, then, I that I use CATS to get the cointegrated vector(s) and then bring them into RATS and apply the SR&LR restrictions. However, one can also apply LR identifying restrictions on the cointegrating vector(s) in CATS too.

Question:
(1) If all I am interested in doing is applying the BQ LR restrictions to the VECM, do I worry about applying LR indentifying restrictions to the cointegrating vectors in CATS before pulling the model into RATS?