Hello,
I saw the following error message below when doing the cointegration test.
###@PANCOINT doesn't support DET=NONE
My Rats version is 8.10, I thought it should support that DET=NONE
Here is part of my code below:
OPEN DATA "C:\Documents and Settings\Administrator\Desktop\M-1992-2011\Research_NI_CF_I\20Years-CF_I.xlsx"
CALENDAR(PANELOBS=20,A) 1992:1
DATA(FORMAT=XLSX,ORG=COLUMNS) 1//1992:01 254//2011:01 Key Date CF C
set CFD = CF - CF{1}
set CD = C - C{1}
@pancoint(det=none,crit=BIC,tdum,title="Cointegration Test")
# CFD CD
Would you please advise how could I fix the issue?
Thanks for your help!
PANCOINT -cointegration test
Re: PANCOINT -cointegration test
I don't believe Pedroni derived any tables for the case without 1's. The deterministics are individual-specific.