fourier series in CATS/vecm

[chiade]

Hi Tom,

Thank you for your earlier reply on kalman filter.

I would like to incorporate fourier series instead of weekly seasonal dummies for my VECM model. I only found your reply of trigonometrical seasonality in state space model. How do I incorporate the fourier as regressor (i..e unrestricted deterministics) in CATS i.e. what is the command to use? Many thanks once again.

Des

[moderator]

The trigonometric seasonality/state space model approach you mention wouldn't apply.

Assuming you can create the series you need, I think you would just use the DUM option on CATS, and the corresponding supplementary card, to supply those as dummy variables in the cointegration model.

Regards,
Tom Maycock