Stochastic Trends
Posted: Fri Oct 26, 2012 8:18 am
Hi there,
I have done some work on cointegration working with Cats and I have the following question:
I want to analyze cross section cointegration by 1.) Carrying out a cointegration analysis for two systems 2) Extract the common stochastic trends from the MA-Representation for both system 3) Look if those common stochastic trends share similiar dynamics
Now, I know how to achieve the MA presentation but I'm not sure whether there is any way to save the common stochastic trends when using cats. The series window does not seem to save such a series.
The output for the MA-Representation contains an equation for the stochastic trends. However, since those trends are an accumulation of the errors respectively shocks, I'm unsure how to calculate those trends based on the coefficients assigned to the variables included in the system. Any help is greatly appreciated. Thank you very much!
I have done some work on cointegration working with Cats and I have the following question:
I want to analyze cross section cointegration by 1.) Carrying out a cointegration analysis for two systems 2) Extract the common stochastic trends from the MA-Representation for both system 3) Look if those common stochastic trends share similiar dynamics
Now, I know how to achieve the MA presentation but I'm not sure whether there is any way to save the common stochastic trends when using cats. The series window does not seem to save such a series.
The output for the MA-Representation contains an equation for the stochastic trends. However, since those trends are an accumulation of the errors respectively shocks, I'm unsure how to calculate those trends based on the coefficients assigned to the variables included in the system. Any help is greatly appreciated. Thank you very much!