The RATS Software Forum

So even if my data ended up being homogeneous (which I doubt) I am better off taking the conservative way of using @ipshin ? What about for cointegration tests, I have been using @paincoint which also allows for heterogeneity, do I need to test for heterogeneity first before performing it? Thanks so...

To know whether to use Levin and Lin unit root tests or Im et al unit root tests; whether we can assume that rho (in the unit root test) is the same for all individuals or not.

Thanks!!

Hi, do you know how to test for panel heterogeneity in rats?

Thanks a lot!!

I have a heterogenous panel that is cointegrated. I used panel FMOLS to find the cointegration relationship and looked at granger causality tests to look at the short run relationships and the last thing I need to do is recovering these error correction terms, however I cannot find any examples of p...

So should I try to switch my code to using panel FMOLS values instead of the Johanssen results? Would that get rid of the issue?

Thanks,

Hi, I am trying to recover the error correction term after having done FMOLS and panel granger causality tests to see how long it takes for each variable to go back to the long run equilibrium. I have been using the example given on the website but I want to make sure I am doing it right and interpr...

So is there any way to get one intercept? @panelfm is used to find the cointegrating relationship between variables and an intercept is needed for that. When looking at other papers using Panel FMOLS they all report an intercept value.

Thank you!

I found the problem with my data and the series is I(1) now and no longer explosive. I used @panelfm and got the cointegrating values (after finding cointegration) but I don't understand how @panelfm gives you the ECT term? Isn't it different from the results @panelfm gives you? Here are my unit roo...

Ok i figured it out for the short run causality but how can I retrieve the long run relationships? The error correction term?

Thanks!

Is there any way to include the max amount of lags and also get tstats? I am trying to report both but it seems that when lags are included, the tstats are not reported. THanks !!! @ipshin(det=trend,crit=aic) re Im-Pesaran-Shin Unit Root Test: Series RE Test has large N on large T asymptotics Null i...

I did have one missing value but I fixed that but I still cannot get the t-stats reported when using the series re (these are in logs). @ipshin(lags=5) re Im-Pesaran-Shin Unit Root Test: Series RE Test has large N on large T asymptotics Null is Unit Root. Alternative is rho(i)<>1 for some i Individu...

Hi, for @panelfm how can we recover the intercept value and the R-squared, LM, RESET and HE parameters?

Thanks!

Hi, I am working on testing for unit roots in a multivariate panel but when I use @ipshin for gdp, the results look different than when I do it for the variable re. Here are the 2 outputs/inputs @ipshin gdp Im-Pesaran-Shin Unit Root Test: Series GDP Test has large N on large T asymptotics Null is Un...

So what this test tells me is that overall Capital formation, Labor and renewable energy Granger cause GDP? How can I set it up to where I test for Granger causality running from all variables to all variables? I am trying to see if there is bidirectional causality between GDP and renewable energy c...

OK I understand the country thing but where does it show me the granger causality tests for all 4 variables? Is it only testing gdp against the next 3 variables?

Thanks for your help!!!