The RATS Software Forum

I don't see any reason why they couldn't. Dear Tom, Thank you for your quick reply. Would it then be correct to use the critical values of the paper of Enders and Siklos (2001) for the unit root tests performed on the residuals stemming from the long-run relationship that would have been previously...

Dear Tom,

Could you please tell me whether in the EndersSiklos procedure, the unit root tests may be done on the residuals stemming from a long-run relationship that would have been previously estimated with DOLS, rather than OLS?
Thank you a lot for your reply.

Dear Tom, Thank you for your messages. The use of the restrict instruction: restrict(create) 1 # 2 3 # 1.0 -1.0 0.0 doesn't change my output after the use of the exclude instruction: exclude # x2 x3 Indeed, while I would like to test with the exclude instruction the H0: beta2=beta3=0, Rats automatic...

Dear Tom,
Thank you a lot for your reply. The page RM-393 of my manual refers to the frequency instruction but I cannot figure out how to use it in my case.
Thank you for your help.

Dear Rats users, I would like to estimate the following model: y = beta0 + beta1*x1 + beta2*x2 + beta3*x3, imposing the restriction that beta1=beta2. Then, I wish to test whether beta2 and beta3 are equal to 0. My code is as follows: declare rect r(1,2) ewise r(i,j)=j^(i-1) encode r / gamma # x1 x2 ...

Dear Tom, Thank you for your quick reply. I suppose that my question was not very clear, as it is precisely the UECM based on the ARDL (1,0) that is problematic to me. In the ARDL(1,1) framework, the UECM has the form: dyt=cst+b0*dxt+(a1-1)*yt-1+(b0+b1)*xt-1, where dyt=yt-yt-1 and dxt=xt-xt-1. The F...

Dear Tom,

Thank you a lot for your answer, however I do not understand what is precisely the econometric form of the UECM based on the ARDL(1,0).
Could you please explain it to me? Thank you for your help.

Dear Rats users, I would like to estimate an Unrestricted Error Correction Model (UECM) based on an ARDL (1,0) of the form: yt=cst+yt-1+xt. Could you please help me to reparametrize the ARDL (1,0) in an UECM in such a way that one could distinguish this UECM from an UECM based on an ARDL (1,1) of th...

Dear all, I have a problem with forecasting results on the basis of an ECM. When I make dynamic forecasting on the basis of an ECM with Rats 6.2, I obtain graphs with observed changes , as well as forecasted change s of my endogenous variable for the period of forecasting. However, several articles ...

Dear all, I have an asymmetric ECM of the following form: Δyt = ß0+ ß1∑yt-i + ß2 ∑xt-j + μ1ECT_PLUSt-1 + μ2ECT_MINUSt-1 + ut. I need to select the aproapriate lag length (i and j) allowing for a maximum number of lags of 4. Could you please tell me whether there is a src file that I could use in det...

Dear all, I have to implement in the rollreg.src a normality test of Jarque-Bera on the residuals of my regression at each iteration inside my loop. I do not need to save my residuals, but I need to print the statistics of my test as well as the p-values associated to the test. Could you please help...