The RATS Software Forum

Hi, is there any specific condition for the imposed restrictions on beta to be identifying?

According to CATS manual, the season instruction includes s-1 centered seasonal dummies and these can be constructed in RATS as St - (1/s), where St is created by RATS procedure 'seasonal'. When I do this in RATS the seasonal dummies for quarterly data are (-0.25, -0.25, -0.25, 0.75), but as CATS cr...

Thank you Tom, I think I don't really understand the reason to impose short and long run restrictions in a VECM. I've seen in Johansen (1995) that cointegration coefficients can not be interpreted as elasticities, neither cointegrating relations as equations, but that a in SVECM it is possible. What...

Hi Tom, I am trying to estimate a SVECM and see how one of the variables behaves after imposing different long-run and short-run restrictions. I wonder if the "Impact Responses" and "Long run Responses" output from @ShortAndLong are the estimated coefficients of the SVECM, and if...

Hi Tom, I would like to estimate a SVEC model by imposing long-run and short-run restrictions on the structural stochastic trends, is there any routine or procedure for so doing with RATS?

Hello Tom, I understood that the best way to test Granger Causality in a multivariate VAR is with block exogeneity tests. But in varcause example what is being tested is the exogeneity of real variables, and I dont understand very well where goes causality. The model is something like rrrnn rrrnn rr...