Rats Software Econometrics
Econometric Theory/Statistical Packages. SAS, Stata, RATS, TSP, WinBUGS and SPSS. Econometrics; Statistics Software; Software. RATS (Regression Analysis of Time Series) is a fast, efficient, and comprehensive time series analysis and econometrics software package. RATS makes simple tasks easy. What is the most frequently used software package for econometrics. R is the best econometric software and it is able to handle gigabytes. Rats etc.) the GUI.
Announcements The main stories are 'Markov-Switching GARCH models', which is a summary of the section from the new edition of the Structural Breaks course; 'How to Switch if you Must' describes the differences between three common types of regime-based behavior (structural break, threshold break and Markov switching) and how to choose which is appropriate; 'Evaluation of GARCH Forecasts' looks at difficulties with using common forecast error statistics (like RMSE) in evaluating out-of-sample behavior of GARCH models. Updated The Structural Breaks and Switching Models e-course has been updated to a 2nd edition, which includes new and expanded treatment of many topics in models with thresholds, breaks and Markov switching. Updated The State-Space/DSGE e-course has been updated to a 2nd edition, which more than doubles the size of the original. Version 9.2 of RATS is now available for all three platforms. The newest release includes quite a few enhancements to the GARCH instruction, improvements to the Markov Switching support routines, two new and powerful methods for non-linear estimation and much more. See for more information.
Econometric Textbooks
This includes information about changes with 9.1 and 9.0 if you haven't updated to those. You can also read more in the.
Enders, AETS, 4th edition We've posted the worked examples for the 4th edition of Walter Enders' Applied Econometric Time Series, Wiley, 2015. This is an intermediate book on applied time series, and covers a broad range of applications from ARIMA models to GARCH models to cointegration. See for more. Updated The VAR e-course has been updated to a 2nd edition, which adds over 50% more material.
Martin, Hurn and Harris, Econometric Modelling with Time Series We've posted the worked examples from Martin, Hurn and Harris, Econometric Modelling with Time Series: Specification, Estimation and Testing, Cambridge University Press, 2013. This is a fairly advanced book which looks at time series analysis primarily by means of the likelihood principle. See for more.
New CATS Handbook The long-awaited full version of our Handbook to accompany Juselius' text is now available!
Contents. History The forerunner of RATS was a program called SPECTRE, written by economist. SPECTRE was designed to overcome some limitations of existing software that affected Sims' research in the 1970s, by providing spectral analysis and also the ability to run long unrestricted distributed lags. The program was then expanded by, then of the, who added and capabilities and went on to found the consulting firm that owns and distributes RATS software. In its early incarnations, RATS was designed primarily for, but as it evolved, it acquired other capabilities. With the advent of personal computers in 1984, RATS went from being a specialty program to an package sold to a much broader market. Features RATS is a powerful program, which can perform a range of econometric and statistical operations.
The following is a list of the major procedures in econometrics and time series analysis that can be implemented in RATS. All these methods can be used in order to forecast, as well as to conduct data analysis. In addition, RATS can handle cross-sectional and panel data:., including stepwise. Regressions with heteroscedasticity and serial-correlation correction.
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Two-stage least squares, three-stage least squares, and seemingly unrelated regressions. Non-linear systems estimation. Generalized Method of Moments.
Simultaneous equation systems, large econometric models. (autoregressive, integrated moving average) and transfer function models. Spectral analysis. and State Space models. Regressions with discrete dependent variables, such as logistic regressions.
and models. RATS can read data from a variety of file formats and database sources, including Excel files, text files, Stata files, and most databases that support SQL and ODBC.
It can handle virtually any data frequency, including daily, weekly, intra-day, and panel data. RATS has extensive graphics capabilities. It can generate high-resolution time series graphs, high-resolution X-Y scatter plots, dual-scale graphs, and can export graphs to many formats, including PostScript and Windows Metafile.
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Mode of operation RATS can be run interactively, or in batch mode. In the interactive mode, the user can run existing programs, or perform new tasks either by using menu-driven 'wizards' or by typing in commands directly (or a combination of both approaches). The menu-driven wizards automatically generate the corresponding commands, allowing users to interactively construct complete programs that can be saved and re-run later. New users often prefer the interactive mode, while experienced users will often prefer to run batch jobs. After an interactive session, the code can be saved, and converted to a batch format. One advantage of RATS, as opposed to automated forecasting software, is that it is an actual programming language, which enables the user to design custom models, and change specifications. Recent versions have added report-generation tools designed to facilitate accurate exporting of results for use in papers and other documents.
Comparison with other software. Main article: One advantage of the RATS program is that it is inexpensive, compared to larger programs such as. RATS has many of the same capabilities as SAS in both time series analysis and other advanced statistical methods. The two programs differ more in the details than in capabilities. SAS has routines for automated State Space estimation. RATS can be programmed to estimate State Space models, or regression models with time-varying coefficients.
In this respect, RATS is actually more flexible. Similarly, SAS has an entire routine for estimating and forecasting with Unobserved Components Models. In RATS, estimation of this type would require extensive programming. Nevertheless, in general, the capabilities of RATS are comparable to SAS/ETS and SAS/STAT, but at a much lower price. See also. – includes information on RATS features References.