Restriction on beta

A forum for questions and answers regarding the CATS cointegration procedure

Restriction on beta

Postby Naty20col » Thu Jan 24, 2013 7:04 pm

Hello:
I'm working with rats and cats of my university.

When I try to impose restriction on Beta. whatever restriction I Impose the program always crashes. it appears an error who says: the chosen normalization invalidates calculation of the "standard errors" for beta. The same problem when I test zero-restriction on beta.

I Changed the normalization but the program crashes. Also in the output appears the following:

The Error Occurred At Location 107, Line 25 of %SEBETA%
Called From Location 1835, Line 109 of %PRINTBETA%
Called From Location 4384, Line 299 of %RESTRICTALPHABE
Called From Location 2237, Line 131 of %CATSMENU%
Called From Location 7879, Line 344 of CATS
## Unassigned 614
Naty20col
 
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Re: Restriction on beta

Postby TomDoan » Fri Jan 25, 2013 2:31 pm

It would be hard to tell anything without knowing more about the model. You would have to send us the data set, the @CATS instruction and tell us what rank you've set and which restrictions you're trying to impose. In general, the restrictions on beta works, so there must be something special about your model.
TomDoan
 
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