Restriction on beta

A forum for questions and answers regarding the CATS cointegration procedure

Restriction on beta

Unread postby Naty20col » Thu Jan 24, 2013 7:04 pm

I'm working with rats and cats of my university.

When I try to impose restriction on Beta. whatever restriction I Impose the program always crashes. it appears an error who says: the chosen normalization invalidates calculation of the "standard errors" for beta. The same problem when I test zero-restriction on beta.

I Changed the normalization but the program crashes. Also in the output appears the following:

The Error Occurred At Location 107, Line 25 of %SEBETA%
Called From Location 1835, Line 109 of %PRINTBETA%
Called From Location 4384, Line 299 of %RESTRICTALPHABE
Called From Location 2237, Line 131 of %CATSMENU%
Called From Location 7879, Line 344 of CATS
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Re: Restriction on beta

Unread postby TomDoan » Fri Jan 25, 2013 2:31 pm

It would be hard to tell anything without knowing more about the model. You would have to send us the data set, the @CATS instruction and tell us what rank you've set and which restrictions you're trying to impose. In general, the restrictions on beta works, so there must be something special about your model.
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Re: Restriction on beta

Unread postby T_FIELD » Wed Sep 09, 2020 10:42 pm

Dear Tom,

I am now using CATS2.06 and got an error message of "the chosen normalization invalidates calculation of the
"standard errors" for beta" like the post above.

After running the attached code, you will see the dialog for row-wise normalization of beta.
Since I want to normalize both of two cointegrating vector on their first entry (r_home),
I simply pressed the OK.
However, unfortunately, I got the error message above.

Could you tell me how I should do to obtain the restricted cointegrating vector and t-values for their coefficients?

Thanking in advance for your trouble.
I am looking forward to hearing from you soon.


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