On Thu, 21 Jan 2010, Sven Schreiber wrote:
Allin Cottrell schrieb:
>
> I've attempted to do this with stata, RATS 6.0 and R. Stata won't
> include the seasonals when a restricted constant is included (why
> not?)
My guess would be that it's because the seasonals are standard
(uncentered), and since those have a non-zero mean it would contradict
the choice of restricting the constant. (Just a guess though, stata
could of course easily include centered seasonals.)
Hm, the relevant piece of syntax in stata is
sindicators(varlist_si)
which is annotated as follows:
"sindicators(varlist_si) specifies the normalized seasonal
indicator variables to include in the model. The indicator
variables specified in this option must be normalized as discussed
in Johansen (1995). If the indicators are not properly normalized,
the estimator of the cointegrating vector does not converge to the
asymptotic distribution derived by Johansen (1995). ...
sindicators() cannot be specified with trend(none) or with
trend(rconstant)."
BTW, I couldn't find a built-in command in stata to generate the
seasonals (normalized or otherwise), although it's easy enough to
generate them by hand.
> for VECMs unless you also buy CATS (which I have not done); if
> anyone has CATS it would be nice to see output from that.
Are you sure one needs Cats? CATS is very powerful, but estimating a
VECM should also be possible in plain Rats. At least the feature page
(
www.estima.com/ratsfeat.shtml) says "Error Correction Models" under the
heading "Vector Autoregressions". And you have the freely available
procedure johmle.src from estima's resource page.
So far as I can see your error correction terms must be
precomputed in RATS, but I'd missed johmle.src so I'll take a look
at that, thanks.
Allin.