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MALCOLM Manual
 Overview
The manual is divided into
5 Chapters:
| CHAPTER 1 |
Gives a concise
review of the literature about Maximum Likelihood analysis
of the I(1) model, Maximum Likelihood analysis of the
I(2) model, structural VAR analysis, univariate unit
roots analysis, giving the formulae implemented in MALCOLM
and precise references to the literature. |
| CHAPTER 2 |
Describes the structure of MALCOLM
and introduces to its use through the analysis of simulated
data. |
| CHAPTER 3 |
Illustrates the analysis of
some real economic data, showing how MALCOLM may be
used to implement a model building strategy aimed at
a data coherent and theory consistent model. |
| CHAPTER 4 |
Gives instructions for installing
and running MALCOLM. |
| CHAPTER 5 |
Gives RATS experts helpful information
for using the building blocks of MALCOLM, i.e.
the subroutines, in order to customise MALCOLM or build
their own cointegration programs. |
Table
of Contents
0. Preface, p. 1
1. Theoretical Background
and Notation, p. 5
1.1 The VAR Model, p. 5
1.2 VAR specification analysis, p. 6
1.3 The I(1) model, p. 9
1.4 Inference in the I(1) model, p. 15
1.4.1 Estimating the model, p. 16
1.4.2 Testing for the cointegration rank, p. 16
1.4.3 Testing for linear restrictions on a
and b*, p. 17
1.4.4 Identification of b*,
p. 19
1.5 The I(2) model, p. 22
1.6 Inference in the I(2) model, p. 30
1.6.1 Estimating the model, p. 30
1.6.2 Testing for the cointegration ranks r and s, p.
32
1.6.3 Hypothesis testing on cointegrating parameters,
p. 32
1.7 Moving Average Representations,
p. 33
1.8 Structural VAR analysis (by Gianni Amisano and Mario
Seghelini), p. 36
1.9 Univariate unit roots analysis, p. 46
1.9.1 Augmented Dickey-Fuller (ADF)
type test, p. 47
1.9.2 Phillips-Perron (PHP) type test, p. 48
1.9.3 Schmidt-Phillips (SCP) type test, p. 48
2. The Menus, p. 51
2.1 Overview on MALCOLM, p.
51
2.2 The sample series in SIMUL.RAT, p. 54
2.3 The models based on the data in SIMUL.RAT, p.
57
2.4 The Main Menu, p. 59
2.5 Menu 1: Univariate Analysis, p. 61
2.5.1 Graphics, p. 62
2.5.2 Autocorrelation functions, p. 63
2.5.3 Unit root tests, p. 65
2.6 Menu 2: Choose/Change
the Model, p. 69
2.7 Menu 3: Specification Analysis, p. 73
2.7.1 Tests for the maximum lag, p. 75
2.7.2 Tests for the trend polynomial, p. 77
2.7.3 Tests for the cointegration rank (r), p. 78
2.7.4 Tests for the cointegration ranks (r,s), p. 82
2.7.5 Parameters stability, p. 84
2.7.6 Roots of the model, p. 87
2.7.7 Residuals analysis, p. 88
2.8 Menu 4: Analysing
the I(1) Model, p. 90
2.8.1 Routine tests on each variable, p.
92
2.8.2 Identification of b*,
p. 97
2.8.3 Non causality test, p. 100
2.8.4 General linear restrictions on a
and b*, p. 103
2.9 Menu 5: Structural
VAR Analysis (by Gianni Amisano and Mario Seghelini), p.
105
2.9.1 Estimation, p. 106
2.9.2 Simulation, p. 116
2.9.3 Graphics, p. 118
2.10 Menu 6: Forecasting,
p. 122
2.10.1 Compute forecasts, p. 123
2.10.2 Graph historical and forecasted values, p. 125
2.11 Menu 7: View the
Model, p. 127
2.11.1 View the I(1) parameterisation, p.
128
2.11.2 View the I(2) parameterisation, p. 132
3. Using MALCOLM,
p. 136
3.1 Introduction, p. 136
3.2 Guided tour #1: I(1) cointegration analysis of a
set of Italian interest rates, p. 138
3.3 Guided tour #2: Checking for I(2)-ness in a set of
Italian macroeconomic variables, p. 148
3.4 Guided tour #3: Structural VAR analysis for a set
of Italian interest rates (by Gianni Amisano and Mario Seghelini),
p. 151
4. Installation and Use Guide,
p. 157
4.1 RATS version and hardware
requirements, p. 157
4.2 Installing MALCOLM, p. 157
4.3 Running MALCOLM, p. 159
4.4 Output, p. 162
4.5 Changes and improvements with respect to former releases,
p. 163
4.6 Coming soon, p. 164
4.7 Suggestions, p. 165
5. The Procedures, p.
166
5.1 Files and procedures, p.
167
5.2 Syntax of MALCOLM procedures, p. 170
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