The RATS Software Forum

Tom thank you for this. I had seen this before but it does not seem to be a generic code that I can apply to any regression. I am surprised that RATS does not have a simpler code for detecting multi-colinearity in a simple linear regression model.

Many thanks,
Petros

Can anybody suggest a particular command code or procedure which I can use to estimate Variance Inflation Factors for several linear regression models that I have estimated?

Many thanks,
Petros

Many thank Tom

I am running a partial adjustment model (which includes lagged dependent) and Durbin h test suggests that there is still higher order autocorrelation. I included a second lag of the dependent variable and then tested for serial correlation in residuals with Breusch-Godfrey Test but I am still reject...

I need the correction for small samples with up to 4 lags. Can you please provide me with the link to the RATS procedure that makes this correction. I need it desperately.

Many thanks,
Petros

Tom thanks for the reply. Pardon my ignorance but I don't understand which is the other error correction equation you are referring to.

Petros

Hi all, My cointegrating regression passes Johansen test, I get very good t-stats with correct signs and stationarity of residuals is verified at the 93% confidence level. However, in the regression of first differences the error correction term (the lagged residual of the cointegrating regression) ...

Many thanks Tom.

Hi all,

Is there any RATS procedure for running the Cointegrating Regression Durbin Watson Test?

Your help will be greatly appreciated.

Petros

Tom thank you for your answer. The price is the dependent variable, the independent variables are demand and supply variables. If I understood well your answer I should run the Johansen MLE procedure with the independent variables only and hope to get indications that they are cointegrated. If that ...

Hello, My dependent variable is I(0) and my independent variables are I(1) - all variables in logs. Can I still run a cointegrating regression keeping both the dependent variables in levels although they are of different order? I want to do that in order to be able to estimates elasticities. If I do...

Hi I have the following code in my input window: OPEN DATA "C:\Users\p.sivtanides\research\cyclical_behavior\CYHPI-3.XLS" CALENDAR(Q) 2004:1 DATA(FORMAT=XLS,ORG=COLUMNS) 2004:01 2013:04 HPI RGDPGR RGDPSA HHS PCHHS HPERMITS CPI TOTEMP CCOST RATE POP NOMGDP CBHPI When I run these lines I get...