The RATS Software Forum

First off sorry for the ignorance, but I am trying to learn the program RATS/CATS.

Is there any easy way to make these dummies exogenous? I am allowed to place them as endogenous variables in the Cointegration after I use the set command, but that is not what I want. I just want to run these as exogenous like the seasonal dummies.

CALENDAR(Q) 1999:3
DATA(FORMAT=XLSX,NOLABELS,ORG=COLUMNS) 1999:03 2014:04 FUTURES CAPRATES EWREITS VWREITS NAREIT SPOTBAR $
SPOTRANDOM SPOTCSI

set d1 = 0.
set d2 = 0.
set d1 2002:4 2004:1 = 1.0
set d2 2008:4 2009:1 = 1.0

Thanks in advance.

John

You can write those in single commands with

set d1 = t>=2002:4.and.t<=2004:1
set d2 = t>=2008:4.and.t<=2009:1

What are your endogenous variables? Those would be listed first on your CATS instruction:

@CATS(det option,lags option,EXO)
# list of endogenous variables
# d1 d2

Thanks so much Tom. You actually answered my question. My biggest problem was not the variables, but my initial Cats line. My endogenous variables were ewreits, futures, caprates, nareit and spotbar. I appreciate your help.

John

How to create seasonal dummies with 1 for each month in each year and 0 otherwise? e.g. Jan 2000, 2001, 2002, 2003, 2004 = 1 and 0 otherwise and same for all 11 months so that i can use it in a model with seasonal dummies. Thanks

Regards,

Use the SEASONAL instruction.