The RATS Software Forum

Dear Mr. Doan, This kind of aggregation is a procedure often done in economics/finance. Would be nice to have an example of how to do it in RATS. See for instance the data at: https://www.eia.gov/dnav/ng/ng_pri_fut_s1_d.htm where daily data are provided and then aggregated at weekly, monthly, and an...

Dear Mr. Doan, In this code there are comments about the relationship between futures and spot prices. It is mentioned that the theoretical relationship would make unnecessary the estimation of the cointegration vector. I would assume that the relationship is then a vector (-1,1). How could that be ...