GRaM
GRaM (Growth Rates and cointegration Mean levels) is a program for estimating long-run properties in cointegrated VAR models. As other program packages for cointegration analysis, the cointegrating vectors and their corresponding adjustment parameters can be estimated. In addition, the program decomposes the parameters for the deterministic terms into interpretable counterparts such as growth rate parameters and cointegration mean level parameters. These parameters express long-run properties of the model. For example, the growth rate parameters tell us how much to expect (unconditionally) the variables in the system to grow from one period to the next, and will therefore be especially important to identify if the system is to be used for forecasting. GRaM also allows for different types of hypotheses testing. Both linear tests on the cointegrating space and on the ’growth rates’ are allowed for, i.e. we can test for both the long-run relationship between the time series and the long-run growth in the different time series.
You need Ox Professional, (c) J. A. Doornik, version 3.3. (or newer) in order to run the program. (Please note that you cannot use the console version of Ox.) If you do not have Ox Professional you can buy if from the following address:
http://www.timberlake.co.uk/software/Oxmetrics/Ox/ox.html
If you have purchased Ox Professional 3.0, 3.1 or 3.2, and have a valid licence code, then you can download the upgrade to version 3.3 from this address:
http://www.doornik.com/download.html
It is important that you upgrade Ox Professional to the version 3.3 (or newer). This is because the program applies a function (MaxSQP) that is not implemented in earlier versions of Ox.
Finally, you need to include the MaxSA package in the directory /Ox/Packages/. (The MaxSA package provides an implementation of Simulated Annealing, see Goffe et al. (1994) for a documentation of the algorithm.) You can download this package from Charles Bos’ home page:
http://www.tinbergen.nl/~cbos/
The next step is to download GRaM. You can download GRaM from this page. Unzip the files and save them in the directory /Ox/Packages/. To run the program start OxPack, which is a part of Ox Professional. In OxPack, choose ’Add/Remove Package..’ under the ’Package’ menu. Choose ’Browse’ to find gram.oxo. (If you followed the instruction above, you will find it in the directory /Ox/Packages/.) Finally, press the button ’Add’. Now you can choose ’GRaM’ in the ’package’ menu. And that is it!
Newest version
Version 0.991 (for OxMetrics 5 - 6): download (dated 1. July 2010, delete '.txt' from file name).
- fixed problems with batch code (version 0.99 for OxMetrics could not read GRaM specific batch code.)
Older versions
Version 0.99 (for Ox Professional 3.3 and 3.4): download (dated 30. April 2005, delete '.txt' from file name).
Version 0.99 (for OxMetrics 4 - 6): download (dated 26. November 2007, delete '.txt' from file name).
GRaM (Growth Rates and cointegration Mean levels) 0.99 is copyright (c) Håvard Hungnes 2003-2004. It is free to use under the following conditions:
Its use in published research is acknowledged. Please cite the documentation (see below) in your list of references.
(Disclaimer) The code is distributed ”as is”, with no warranties as to fitness for any purpose. Use it at your own risk.
Ox Professional 3.3 (or newer) is required to use the package, see ’Installation’. Ox should be cited whenever it is used. For example you could say in the text: ”the results are generated using Ox version 3.30 (see Doornik, 2001)” and then give the references: ”Doornik (2001), Object-Oriented Matrix Programming Using Ox, 4th ed. London: Timberlake Consultants Press and Oxford:
www.nuff.ox.ac.uk/Users/Doornik.”