RATS

This Repositiry includes estimators and test statistics for non-stationary processes, which I wrote with software RATS (Regression Analysis for Time Series)¹ between 1998 and 2004.² You'll find the following routines:

• fmols.scr: performs fully modified estimation of cointegrating regressions between a pair of variable, using an automatic bandwidth. It also tests for the constancy of the cointegrating regressions using the Hansen's (1992) $L_c$ test of parameter instability; see Hansen, B. E., 1992, Tests for parameter instability in regressions with I(1) processes, Journal of Business & Economic Statistics, 10(3), pp. 321-335. The code slightly followed Peter Pedroni's group-fm.prg/pangroup.prg_, which no longer exists at Estima to my knowledge. Peter's original code was later extended to panelfmprocedure by the Estima team. Estimation and test apply to a pure time series model. Estima revised the routine notably to handle command options; see the header within the fmols.src file at estima.com. I am writting down the different estimation steps in file fmols_theory, forthcoming ...

• adfjtest.src: ... forthcoming

Footnotes

1. I'd like to thank Tom Doan for having developed RATS, with which I was introduced to Econometrics, more particularlymultivariate time series analysis. ↩

2. I started to write the routine while I was research associate in the Centre for Competition Policy at University of East Anglia, Norwich. ↩