* This program determines the cointegrating relations and rank and can be used to * test restrictions on the cointegrating vectors. end xxx calendar(panelobs=120) 1984 1 12 allocate 0 30//120 open data d:\winrats\cointegration\sandydat3.txt data(format=free,org=obs) / County nt24 is24 employ pop up CAemploy CAUP fg CAfg fs CAfs source D:\cats\catsmain.src * Set county to investigate compute m = 4 if m == 1 compute k = 2 else if m == 4 compute k = 1 else if m == 7 compute k = 2 else if m == 9 compute k = 1 else if m == 12 compute k = 1 else if m == 17 compute k = 1 else if m == 21 compute k = 1 else if m == 23 compute k = 4 else if m == 25 compute k = 1 else if m == 26 compute k = 1 else if m == 28 compute k = 1 end if * counties for project 1 4 7 9 12 17 21 23 25 26 28 smpl m//1984:1 m//1993:12 log nt24 / ln24 log is24 / li24 log up / lup log CAemploy / lCe log CAUP / lCU log fg / lfg log CAfg / lCfg log fs / lfs log CAfs / lCfs @cats(lags=k, dettrend=drift, season=12, tables) / # ln24 li24 lfg lCe lCfg Normal Completion. Halt at XXX compute [string] %catsdir = 'D:\CATS\' source(noecho) &%catsdir+'cats.src' COINTEGRATION ANALYSIS Endogeneous series : LN24 LI24 LFG LCE LCFG Deterministic series : Unrestricted constant 11 centered seasonal dummies Effective sample : 4//1984:02 TO 4//1993:12 Lag(s) in VAR-model : 1 No. of observations : 119 Obs.- no.of variables: 102 I(1) ANALYSIS Eigenv. L-max Trace H0: r p-r L-max90 Trace90 0.4222 65.27 112.87 0 5 20.90 64.74 0.2064 27.51 47.60 1 4 17.15 43.84 0.0988 12.37 20.09 2 3 13.39 26.70 0.0581 7.12 7.71 3 2 10.60 13.31 0.0050 0.60 0.60 4 1 2.71 2.71 BETA (transposed) LN24 LI24 LFG LCE LCFG -3.993 -0.656 4.410 -14.798 -1.506 18.434 0.724 25.572 -27.675 -36.529 9.465 9.721 7.194 -23.874 11.053 -8.428 6.694 4.593 14.246 20.524 -1.656 -1.416 7.034 -13.735 0.950 ALPHA -0.000 -0.004 -0.007 0.004 -0.000 0.003 0.003 -0.008 -0.008 0.001 0.002 -0.006 0.000 -0.001 -0.001 0.002 0.001 -0.000 -0.000 -0.000 -0.002 -0.000 -0.000 -0.000 -0.000 PI LN24 LI24 LFG LCE LCFG -0.162 -0.039 -0.127 0.324 0.144 0.021 -0.136 -0.014 -0.039 -0.353 -0.106 -0.009 -0.157 0.132 0.203 0.015 -0.003 0.036 -0.050 -0.057 0.008 -0.000 -0.011 0.032 0.000 Re-normalisation of the eigenvectors EIGENVECTOR(S) (transposed) LN24 LI24 LFG LCE LCFG -3.9934 -0.6561 4.4095 -14.7980 -1.5059 The matrices based on 1 cointegration vectors BETA (transposed) LN24 LI24 LFG LCE LCFG -3.993 -0.656 4.410 -14.798 -1.506 ALPHA T-VALUES FOR ALPHA DLN24 -0.000 -0.106 DLI24 0.003 0.781 DLFG 0.002 1.021 DLCE 0.002 2.644 DLCFG -0.002 -8.423 PI LN24 LI24 LFG LCE LCFG DLN24 0.001 0.000 -0.001 0.004 0.000 DLI24 -0.013 -0.002 0.014 -0.047 -0.005 DLFG -0.006 -0.001 0.007 -0.023 -0.002 DLCE -0.007 -0.001 0.008 -0.026 -0.003 DLCFG 0.008 0.001 -0.009 0.031 0.003 T-VALUES FOR PI 0.106 0.106 -0.106 0.106 0.106 -0.781 -0.781 0.781 -0.781 -0.781 -1.021 -1.021 1.021 -1.021 -1.021 -2.644 -2.644 2.644 -2.644 -2.644 8.423 8.423 -8.423 8.423 8.423 RESIDUAL ANALYSIS Correlation matrix DLN24 DLI24 DLFG DLCE DLCFG 1.000000 -0.075155 1.000000 0.126048 -0.038982 1.000000 0.144741 -0.002114 0.143073 1.000000 0.037460 0.044169 0.149810 0.073417 1.000000 Standard deviations of residuals 0.028291 0.044175 0.016785 0.007321 0.002693 MULTIVARIATE STATISTICS LOG(DET(SIGMA)) = -43.30077 INFORMATION CRITERIA: SC = -40.52968 HQ = -41.48676 TRACE CORRELATION = 0.48043 TEST FOR AUTOCORRELATION L-B(29), CHISQ(720) = 817.003, p-val = 0.01 LM(1), CHISQ(25) = 23.753, p-val = 0.53 LM(4), CHISQ(25) = 17.161, p-val = 0.88 TEST FOR NORMALITY CHISQ(10) = 195.683, p-val = 0.00 UNIVARIATE STATISTICS MEAN STD.DEV SKEWNESS KURTOSIS MAXIMUM MINIMUM -0.000000 0.028291 -0.541479 5.440205 0.086922 -0.115832 0.000000 0.044175 -0.534822 4.892963 0.132192 -0.154862 0.000000 0.016785 -0.049116 2.823169 0.041291 -0.041204 0.000000 0.007321 -0.612672 13.596242 0.034453 -0.039562 -0.000000 0.002693 0.025591 3.056650 0.007199 -0.006598 ARCH(1) Normality R-squared 0.008 19.528 0.726 0.304 13.652 0.277 4.249 0.054 0.260 0.189 154.785 0.765 0.446 0.423 0.667