The RATS Software Forum

Hi, I have 2 questions: 1. After estimating a Cointegrating Vector by the procedure DOLS of Stock and Watson (by the procedure @swdols in RATS), how can I test for the Stability of Parameters of this cointegrating vector? Is there a code in RATS to do this kind of stability test? 2. When I use CATS ...

Can we use the Granger causality test and Engle-Granger cointegration test for discrete data? Or these tests are only used for time series data?
Many thanks
Best regards

Hi, I have a problem with data retrieved from database of IMF International Financial Statistics. There are some series that contain observations with note "Identifies the point at which multiple time series versions are linked by butt-splicing". Can I use the whole continuous series with ...

Usually, we use the Monte Carlo simulation or Bootstrapping technique to compute the errors bands for point estimates. In this case, the point estimates are of course the average value of many point estimates from many different draws. My question is that: in computing a VAR/VECM Decomposition of Fo...

I am using the WinRATS procedure @paneldols.src but I don't understand very well the mechanism of this. Can you tell me briefly how this procedure work and what is the main difference between this procedure and an usual panel by OLS ? Moreover, how can I choose the option "Average" in this...

Thanks Tom Doan for your help, However, my need is to compute the error band (confidence intervals) of Error Decomposition of Variance derived from the Instruction "Errors". I do here my bootstrapped (relying on Bootvar.rpf program file) to compute the confidence intervals of Error Decompo...

Dear all, I try to modify the replication WinRATS codes of King et al (1991)'s article. With regard to the "Error Decomposition of Variance", my question is how to compute the bootstrapped 95-percent confidence intervals for the results in the last step = 48 (or generally, for each step if...

Dear all, I have a question concerning the Unit Root Test ADF to test the stationarity of the series. To be exact, I have to do several tests for different sub-periods: 1950:2011, 1960:2011, 1970:2011, 1980:2011, 1990:2011. However, if I do only a test ADF for the overall period from 1950:2011 and i...