The RATS Software Forum

Hello, I want to get the R-squared from my VAR/Cointegrated because I have a problem with the signifiance of the ECM for the sort run and the Error correction term. Basically, I have unit roots and cointegration for my variables in my database. I estimate a fmols with good significance with expected...

Hi, I would like to use the Ajusted R-squared. I have modified some of the programs I used to incorporate this code (%RBARSQ ) after linreg and it worked. The next step is to get a R-squared with the VAR/Cointegrated. Here is my code for the VAR/cointegrated. If I had a @source, I would go it that f...

Hi Tom,

I have a quick question. I want to know if CATS could work with panel data ? I red I lot about CATS for the last days and I havent found something about panel dataset for CATS.


Thank you,
Nadia

Hi, I would like to have an advice for getting the R-Squared from a VAR/system - Estimation by Cointegrated least Square. 1. I have estimated a Fm-ols and I saved the coefficients (long run) 2. I use these coefficients in a ECM models to get the short-run parameters. . But, I got a problem with the ...

Hi, Previously, you gave me information about getting the Error Correction Terms for a FMOLS procedure. I have 5 variables: py1 py2 raw terms and a constant. Py1 is the dependent variable. I got the following cointegration coefficients for each of the above variables: 0.31 -0.49 -3.02 0.12 15.32. I ...

Hi, Is there an Error Correction Model procedure or an example from a textbook for a Fully Modified OLS and a Dynamic OLS with RATS? Alose, I have been asked to graph the Impulse Fonction Reactions for the ECM. I don't think I can do it because IFR are associated with VAR methodology. Do I am right?...

Hi, I would like to know what is the difference with the Fully Modified OLS procedures on the estima web site. Actually, there is three based on Hansen (1992): 1 -The Carstenson(2006) fm_ols.src 2 - fm.src 3 - fmols.src=>Outdated Basically, I run the first two programs with the same dataset and I ge...

Hi, I work with panel data for agricultural support. OECD countries (12) for "i". In 1986-2008: for "T" 3 endogeneous: y1, y2, CPI: 2 exo: API, dummy. Following Hsiao(1986) there are assumptions before using a panel data set (UG 548) with the model Yit= Ait + Bit+eit 1- For indiv...