The RATS Software Forum

Thanks for this, Tom. This has been very helpful. I have a followup question. Suppose one finds evidence that y and x are cointegrated, say through an ARDL bounds test, and then one estimates the LR relationship, say using DOLS. There still remains the question of interpreting the DOLS equation, y =...

BACKGROUND: Given two variables y and x, for which one suspects there is a LR relationship such that y = beta*x, the specification for the ARDL bounds test looks like this (ignoring deterministic regressors and lagged differenced regressors): D.yt = b1*yt-1 + b2*xt-1 + b3*D.xt + et . ---------------...

BACKGROUND: Given two variables y and x, for which one suspects there is a LR relationship such that y = beta*x, the specification for the ARDL bounds test looks like this (ignoring deterministic regressors and lagged differenced regressors): D.yt = b1*yt-1 + b2*xt-1 + b3*D.xt + et . ---------------...

Hi, Is there a program I can download for calculating AIC, SIC, and other model selection criteria after a linreg or boxjenk command?

Thanks for the quick response, Tom. A follow-up question. It is my understanding that the assumed error var-cov matrix is not the same for Stata's and Rats' cluster robust. Rats assumes a completely general specification: (e.g., e(sub-g)*e(sub-g)', while Stata assumes a common covariance term for al...

I am a new user of RATS and have a question about individual clustered standard errors with panel data. As I understand it, the ROBUST option with LINREG allows one to calculated clustered standard errors when used with the LWINDOW=PANEL option, where the within-unit correlation is unrestricted. Deg...