Co-integration analysis using CATS2

A forum for questions and answers regarding the CATS cointegration procedure

Co-integration analysis using CATS2

Unread postby bizimanaRATS » Fri Jul 22, 2016 11:39 am

Dear forum members,
each time I do a co-integration analysis in RATS using CATS2, I get an error or message like this: ## Unassigned 1023. Can anyone explain me what the error means and its possible effects on the model estimation. I did not find that kind of error in the RATS manual.

Regards,
JC
bizimanaRATS
 
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Re: Co-integration analysis using CATS2

Unread postby TomDoan » Fri Jul 22, 2016 12:58 pm

First, your RATS is somehow set up wrong so it doesn't find the actual error messages. The CATS problem is that you have a rather old copy of CATS v2. Contact support@estima.com. Make sure you let us know the serial numbers and versions of the RATS and CATS software that you're using.
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Re: Co-integration analysis using CATS2

Unread postby bizimanaRATS » Mon Jul 25, 2016 4:49 pm

Dear Tom,
thanks for your reply. I reset the model using RATS 8.2 and now it's showing the real error messages. As for the copy of CATS 2 I am using, it's compatible with RATS version 6.2 or later. The program I am using now is RATS 8.2; so it should not pose any problem to my understanding. The issue I am encountering is related to setting up the rank of pi. When the dialogue box comes up and asks me to input the number of co-integrating vectors, and do it, the run does not go through. I see this error message: ## MAT13. Store into Out-of-Range Matrix or Series Element. However when I check the error message meaning I do not understand why the error comes up since I am inputting the right number of co-integrating vectors. Below is the program I am using:
------------------------------------------------------------------------------
Calendar(m) 2000:01
allocate 100 2013:06
open data DataPriceSorgh_New1.txt
data(format=free,org=obs) / PKAY PBKO PNIOR PSEG PSAN PSIK PGAO PTOM PMOP

source "C:\.......\Desktop\Research1\Software\CATS2\cats.src"

@cats(lags=1,dettrend=cimean) 2000:08 2013:06
# PKAY PBKO PNIOR PSEG PSAN PSIK PGAO PTOM PMOP
---------------------------------------------------------------------------------------

I appreciate your help.

Regards,
JC
bizimanaRATS
 
Posts: 2
Joined: Fri Jul 22, 2016 10:52 am

Re: Co-integration analysis using CATS2

Unread postby TomDoan » Mon Jul 25, 2016 6:20 pm

The early CATS v2's had an error in them (multiple options with the same root name) that was only detected in RATS version 8 and later. You need the person in charge of your RATS and CATS licenses contact support@estima.com.
TomDoan
 
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Joined: Wed Nov 01, 2006 5:36 pm


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