Re: Restriction on beta
Posted: 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.
Sincerely,
Kameda
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.
Sincerely,
Kameda