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source CATSHandbook_DataRead.src

source c:\cats2\cats.src


*****************************************************************
* Chapter 11 - Restrictions on alpha                            *
* - The model with an unrestricted constant                     *
* - The model with an unrestricted constant and Rb as w.e.      *
*****************************************************************

* Unrestricted constant

*
* Illustration 11.1.1. Use unrestricted constant model.
*
@cats(lags=2,noexo,shift,dum,dettrend=drift) 1973:1 2003:1
# lm3rc lyr dpy Rm Rb
# Ds831
# Dt754 Dp764
*
* (a) Use I(1)--Set Rank of Pi and choose 3 cointegrating vectors.
*
* Test for Rb as weakly exogenous.
* (b) Use I(1)--Test for Weak Exogeneity. Input 1 as the number of
*     weakly exogenous variables. Set the R value to 1.0 on DRB.
*
* Automated test for weak exogeneity.
* (c) Choose Automated Tests--West Exogeneity. This will produce table 11.1
*
* Joint test of weak exogeneity of yr and db
* (d) Choose I(1)--Test for Weak Exogeneity. Input 2 as the number of weakly
*     exogenous variables. For the R matrix, enter a 1.0 in the DRB column
*     on the first row, and in the DLYR column on the second row.
* (e) Exit CATS
*
* Illustration 11.2.1. Run CATS with unrestricted constant and Rb as weakly exogenous
*
@cats(lags=2,exo,shift,dum,dettrend=drift) 1973:1 2003:1
# lm3rc lyr dpy Rm
# Rb
# Ds831
# Dt754 Dp764
*
* (a) Do I(1)--Rank Test Statistics
* (b) Do I(1)--Set Rank of Pi and set r=3. Normalize on DPY, LM3RC and RM in that order.
* (c) Do Misc--Short Run Parameters to get the short-run matrices needed to fill in the bottom of
*     page 199.
* (d) Do Misc--Residual Analysis to get table 11.3
* (e) Exit CATS

Code: Select all

I(1)-ANALYSIS
 p-r r Eig.Value  Trace  Trace*  Frac95 P-Value P-Value*
  5  0     0.346 118.979 111.567 69.611   0.000    0.000
  4  1     0.228  68.379  64.130 47.707   0.000    0.001
  3  2     0.193  37.567  34.062 29.804   0.005    0.014
  2  3     0.084  12.065  10.923 15.408   0.155    0.220
  1  4     0.014   1.670   1.522  3.841   0.196    0.217