RATS 8 Fast, Easy, Flexible, and Reliable Time Series and Cross-Sectional Data Analysis

Transcription

1 RATS 8 Fast, Easy, Flexible, and Reliable Time Seies and Coss-Sectional Data Analysis ats povides all the basics, including linea and non-linea least squaes, foecasting, and aima models, but goes fa beyond that with suppot fo techniques like gmm, ach and gach, vecto autoegessions (vas), spectal analysis, state space models and dsges, and much moe. It can handle time seies of vitually any fequency, including daily and weekly, as well as panel data, and poduces publication-quality gaphs fo pinting o impoting diectly into wod pocessos. Menu-diven Wizads povide a point-and-click inteface fo many common tasks, making RATS an ideal tool fo new uses and fo educational settings. Meanwhile, the poweful commanddiven language at the heat of the pogam emains easy to lean and use fo simple jobs, while also allowing uses to automate complex o epetitive tasks and even wite sophisticated menu- and dialog-diven end-use applications. ats is available fo Windows, Macintosh, unix, with complete compatibility acoss platfoms. The RATS v.8 inteface. Hee, the sequence of commands appea in one text window, with the output diected to anothe window. This makes it easy to save commands as a complete pogam, which you can eun late with a couple of mouse clicks. Also visible ae a epot window showing the output fom a Box-Jenkins estimation, a gaph window, and a look at the wizads on the Time Seies menu. Majo Impovements Since Vesion 7.0 Include: Revised and expanded manuals, with all-new Intoduction. Much faste computation speeds. Complex estimation pogams may un up to two times faste than befoe. Significant extensions to state space and dsge capabilities. Reads data fom Excel 2007, Stata, Matlab, Eviews. Census Bueau x12-aima seasonal adjustment (Po vesion). Enhanced epoting featues fo viewing, saving, and expoting esults. Can now expot in TeX fomat. Moe point-and-click Wizads. Dozens of new built-in functions. Gaphics: Now geneates box plots. Moe contol ove gaph labeling, window titles, backgound colo. Expanded View menu & toolba icons fo quick data analysis. New options fo initial conditions on non-linea estimation. Fo Moe Infomation, o to Place an Ode: ats is available diectly fom Estima, and fom eselles aound the wold. We offe single-use, multi-use and netwok licenses, as well as seveal options fo using ats in instuctional settings, including discounts fo full-time students. Fo moe infomation, please visit ou web site at: o contact us by phone, fax, mail, o Toll fee: Geneal: Fax: sales@estima.com Estima 1560 Sheman Ave, Suite 510 Evanston, IL USA

2 RATS Vesion 8 Featues Statistical Methods Estimation Techniques Multiple egessions including stepwise Regession with autoegessive eos Heteoscedasticity/seial-coelation coection, including Newey-West Non-linea least squaes Two-stage least squaes fo linea, nonlinea, & autocoelated models Seemingly unelated egessions and thee-stage least squaes Non-linea systems estimation Genealized Method of Moments Maximum likelihood estimation Constained optimization Extensive built-in hypothesis testing, with pocedues fo a huge vaiety of unit-oot, stability, and othe tests Limited and discete dependent vaiable models: logit, pobit, censoed/ tuncated data (Tobit), count models Panel data suppot, including fixed and andom effects estimatos Non-paametic egessions Kenel density estimation Robust estimation Recusive least squaes State-space models, including Kalman filteing and smoothing, simulations, and optimal contol models dsge models Neual netwok models Linea and quadatic pogamming Time Seies Pocedues Easy to specify lags and leads fo timeseies model estimation and analysis aima and amax models including multiplicative seasonal models; suppot fo abitay lag stuctues Tansfe function/intevention models Eo coection models Kalman filte Spectal analysis Foecasting Time seies models Regession models Exponential smoothing Static o dynamic foecasts Simultaneous equation models (unlimited numbe of equations) Simulations with andom o usesupplied shocks Foecast pefomance statistics, including Theil U statistics Vecto Autoegessions (VARs) Unmatched suppot fo va models Eo Coection models Stuctual vas. Choice of factoizations, including estimation of a facto matix fom a covaiance matix model Impulse esponses, with Monte Calo and Impotance Sampling techniques fo standad eo bands. Foecasting Vaiance decomposition Histoical decomposition Extensive hypothesis testing tools cats 2.0 add-on povides industyleading cointegation analysis ARCH and GARCH Models Univaiate and multivaiate, including bekk, diagonal, cc, dcc, and vech multivaiate models Suppot fo gach-in-mean models Additional exogenous vaiables in mean and/o vaiance equations Nomal, t and ged distibutions Exponential and Asymmetic models Robust standad eos Woking With Data Data Enty Menu-diven Data Wizads fo eading in data Reads and wites Excel files, text files, EViews, Stata, and othe fomats Po vesion suppots sql/odbc On-sceen data viewe and edito, with point-and-click gaphing and statistics tools Can handle vitually any data fequency, including daily, weekly, inta-day, and panel data Can automatically convet data to diffeent fequencies ats data file fomat is fast and easy, suppots all fequencies, and allows you to stoe seies of diffeent fequencies on the same file Data Tansfomations Flexible tansfomations with algebaic fomulas Easy to ceate tend seies, seasonal, and time peiod dummies Extensive filteing opeations, including Hodick-Pescott, Hendeson, Spence, and custom filtes Suppots egula, seasonal, and factional diffeencing Gaphics High-quality time seies gaphics High-esolution X-Y scatte plots Dual-scale gaphs Contou gaphs Copy-and-paste gaphs into othe applications Expot gaphs to many fomats, including PostScipt and Windows Metafile Use can customize attibutes such as line thickness, colos and gayscale levels, and fill pattens Inteface Inteactive Mode Envionment Text-edito based Point-and-click wizads fo many tasks, geatly enhancing ease-of-use Saved pogams can be e-un with just a few mouse clicks Designed so that you can epoduce esults, output, and gaphs easily and accuately a citical but often ovelooked equiement fo poducing eliable, publication-quality esults Tue multiple window suppot. Simultaneously view you input commands and output, speadsheet-style epot windows, gaphs, and moe Pogammability Extensive looping capabilities and suppot fo applying opeations to lists of vaiables make it possible to automate many epetitive tasks You can wite pocedues, which can pefom complex tasks with a single instuction, and wite you own callable functions. A libay of pocedues witten by ats uses fom aound the wold is available fee of chage on ou web site A vaiety of inteface-elated instuctions allow you to ceate you own dop-down menus, custom dialog boxes, and moe RATS Pofessional The Pofessional vesions of ats add the following featues not found in the Standad vesion: 64-bit vesion (Windows, unix/linux) odbc/sql database suppot Census Bueau x12 seasonal adjustment outine Suppot fo fame data files (fo Windows and unix/linux) Suppot fo csp and fed databases

3 Fee Technical Suppot, No Requied Maintenance Fees Estima supplies expet technical suppot at no additional chage fo as long as you own the softwae. Most questions ae answeed within one day. Uses can also paticipate in web and discussion foums with ats uses fom aound the wold. And you license to use ats will neve expie thee ae neve any equied maintenance o licensing fees to continue using the softwae. Flexible Update Policies Mino updates ae often made available as fee downloads, while moe significant updates ae offeed at vey easonable pices typically no moe than 10% to 15% of the oiginal puchase pice. Updates ae always optional. Fo uses who want to stay up to date automatically, we also offe Update Subsciption pogams, which make it easy to budget softwae puchases and povide you with all updates shipped to you on cd as soon as they ae eleased. Suppoted Platfoms RATS fo Windows WinRATS uns on Windows 2000, xp, Vista, and Windows 7. Po vesions includes 64-bit vesion. Requies a Pentium o bette pocesso, a had dive with at least 90Mb fee, and a cd Rom dive. RATS fo Macintosh MacRATS is a Univesal application and uns on any Intel o powepc-based Mac, unning os x 10.4 o late. It equies a had dive with at least 90Mb fee, and a cd om dive. RATS fo UNIX and Linux ats is available fo almost all unix and Linux systems, and now includes the same inteactive-mode envionment peviously available only fo Windows and Macintosh. The Linux and unix vesions equie a had dive with at least 90Mb fee, and a cd om dive. The Motif x11 windowing libaies ae equied fo inteactive mode use. The unix vesion equies that you have a C compile to compile the souce code. The Box-Jenkins/ARIMA Wizad povides an easy way to estimate ARIMA and ARMAX models, including models with tansfe function o intevention tems ARCH6 EGARCH11 GARCH11 A sample time-seies gaph. Hee, we ve used the gaphics style sheet featue in RATS to select thicke lines in shades of gay to epesent the thee seies. Because the seies coss each othe so fequently, the dash pattens that ae the standad fo black and white lines wouldn t look as good. We ve used anothe option to place a key at the bottom of the gaph. Picing Pices fo single-use licenses ae shown below. We also offe multi-use licenses, discounts on additional single-use licenses, and seveal picing options fo classoom and educational settings. Please contact Estima fo details on any of these. Poduct Pice WinRATS $500 WinRATS Pofessional $650 MacRATS $500 MacRATS Pofessional $650 Linux RATS (executable) $600 UNIX/Linux RATS (with souce) $700 UNIX/Linux RATS Po $850 Update Subsciption Pices Fo single-use licenses, an Update Subsciption povides the use with all updates though and including Vesion 8, shipped on cd automatically. Poduct fo Subsciption Pice WinRATS, MacRATS $150 WinRATS Po, MacRATS Po $175 Linux RATS (executable) $175 UNIX/Linux RATS (with souce) $200 UNIX/Linux RATS Po $225

4 CATS 2.0 Cointegation Analysis Pocedue cats (Cointegation Analysis of Time Seies) is a sophisticated set of ats pocedues which implement the popula Johansen and Juselius cointegation analysis techniques. Vesion 2.0 was witten by Jonathan Dennis, Kataina Juselius, Soen Johansen, and Henik Hansen of the Univesity of Copenhagen, and is distibuted and suppoted by Estima. cats is almost entiely a menu and dialog-diven pocedue. You use standad ats instuctions to define the fequency, ead in data, and do any necessay tansfomations. You then souce in and execute the cats pocedues. Fom thee, the est of the analysis is done by selecting opeations fom the cats pull-down menus, and enteing infomation in pop-up dialog boxes. The Johansen Juselius appoach to cointegation is based on the eocoection fom of a Gaussian vecto autoegession. In paticula, they analyze the decomposition of the matix of eo-coection coefficients P into ab'. The I(1) pocedue suppots patial systems, and makes it easy to specify weakly exogenous vaiables. You can also include dummy vaiables, o stationay dummy-type vaiables. To help you choose a model, cats povides eigenvalues, tace and lambda-max test statistics fo educed ank (and 90% citical values if equested) and unesticted estimates of a, b, and P. You can check the model by calculating multivaiate test statistics fo esidual autocoelation, nomality, and ach. Vesion 2 even povides an automated model selection outine. Additional featues include: Auxiliay pocedues fo multivaiate tests of long-un exclusion, weak exogeneity and stationaity, and fo calculating eigenvalues and lambda-max and tace statistics fo five diffeent hypotheses. Ability to set and eset the ank of P thoughout the analysis, and a vaiety of tests to help you detemine the coect ank ode. Gaphical analysis tools, including plots of the b-vectos to check stationaity, and of esiduals to locate possible poblems with the Gaussian assumption, plus coelogams and autocoelogams. Desciptive statistics include: esidual coelation matices, the shot-un paametes and associated t-values, estimates of the C-matix (with asymptotic t-values) in the common tends epesentation, and the long-un covaiance matix. Stuctual tests, including non-identifying estictions on b, identifying estictions on b, and weak-exogeneity hypotheses on a. Suppots ecusive cointegation analysis, with tests fo the constancy of the eigenvalues, stability of the estimated cointegation space and the estimated paametes, and the adequacy of the pedictions fom the model. The cats package includes the cats pocedues on diskette, a 200-page use s manual, and sample data and pogam files. The cost of a single copy of cats is $175. The pice fo fulltime students is $125 (veification of student status is equied). Site license pices ae also available. cats equies Vesion 6.2 o late of ats, and is available fo Windows, Macintosh, unix, and Linux. Please contact us if you have any questions about cats o ats. Also available: The Cointegated VAR Model: Methodology and Applications, by Kataina Juselius. Witten in conjunction with the development of cats 2.0, this book povides a compehensive look at both the theoy and pactice of cointegation analysis. It is highly ecommended fo anyone using cats.

5 Econometics Texts Applied Econometic Time Seies, 3d edition RATS Handbook fo Econ. Time Seies, by Walte Endes Applied Econometic Time Seies, now in its thid edition, povides a lucid intoduction to, and discussion of, most of the key topics in moden time seies econometics, including stationaity and unit oots, aima models, volatility (ach/gach) models, cointegation, and moe. Geaed towads Mastes and PhD students in time seies analysis o advanced econometics couses, as well as pofessionals wishing to lean moe about time seies techniques. The RATS Handbook is vey helpful esouce fo new ats uses, and those looking to exploe time seies techniques in moe depth. Useful as a stand-alone wokbook o as a companion to Applied Econometic Time Seies. Intoductoy Econometics fo Finance, 2nd Edition RATS Handbook fo Into. Econ. fo Finance, by Chis Books Intoductoy Econometics fo Finance is aimed at teaching intoductoy econometics to finance majos. It assumes no pio knowledge of econometics, and coves impotant moden topics such as time-seies foecasting, volatility modelling, switching models and simulation methods. The book includes numeous examples and case studies, making it paticulaly accessible fo non-specialists. The second edition contains new chaptes on limited dependent vaiables and panel methods, as well as new case studies fom the finance liteatue. Suppoting mateials ae available on the web. Books RATS Handbook, witten to complement Intoductoy Econometics fo Finance, povides a compehensive intoduction to the use of ats fo modelling in finance and beyond. It includes numeous woked examples with caefully annotated code. Detailed explanations of the outputs ae also pesented, giving eades the knowledge and confidence to use the softwae fo thei own eseach and to intepet thei own esults. The Econometics of Financial Makets, by Campbell, Lo, & MacKinlay This book focuses on the application of econometic techniques in the ealm of financial makets. Geaed towads PhD students, advanced mba students, and financial industy pofessionals, it tackles eveything fom capm and Abitage models, to inteest ate stuctues, ach models, and chaos theoy. An Intoduction to State Space Time Seies Analysis, by Commandeu and Koopman This text offes a step by step appoach to the analysis of the salient featues in time seies such as the tend, seasonal, and iegula components. Pactical poblems such as foecasting and missing values ae teated in some detail. This useful book will appeal to pactitiones and eseaches who use time seies on a daily basis in aeas such as the social sciences, quantitative histoy, biology and medicine. It also seves as an accompanying textbook fo a basic time seies couse in econometics and statistics, typically at an advanced undegaduate level o gaduate level. Time Seies Analysis by State Space Methods, by Dubin and Koopman This is an excellent choice fo ats uses inteested in pusuing state space modelling techniques. Many of the enhancements to the dlm instuction intoduced in ecent vesions of ats wee developed in the pocess of witing ats code fo the examples in this book. Time Seies Analysis, by James D. Hamilton It s no accident that Hamilton s book is efeenced extensively in ou ats manual, and in many jounal aticles published since its elease in A detailed teatment of moden time seies analysis and econometics, suitable as a textbook fo the student and as an advanced efeence fo pacticing eseaches. Econometics, by Fumio Hayashi Hayashi s book appoaches econometics though the unifying famewok of the Genealized Method of Moments (gmm). This makes fo an excellent fit with ats, as the ats manual offes much of the same infomation without the technical details. Each chapte includes empiical execises with eal-wold data sets, libeally laced with specific tips fo uses of ats, tsp and Gauss. Not fo the mathematically challenged. The Cointegated VAR Model: Methodology & Applications, by Kataina Juselius. This book is highly ecommended fo anyone using Vesion 2 of the cats in ats cointegation analysis softwae, but it will be of inteest to anyone inteested in Vecto Autoegession models and cointegation analysis. The book was witten in conjunction with the development of cats 2.0, and povides a compehensive look at both the theoy and pactice of cointegation analysis. Bayesian Econometics, by Gay Koop Designed fo both undegaduate and gaduate level econometics couses, this book intoduces the use of Bayesian methods with a focus on models used by applied economists and on the computational techniques equied fo empiical wok. It includes many numeical examples, and coves egession and time seies models, qualitative and censoed data, nonpaametic methods, and moe. Data sets and code examples ae available via the web. Analysis of Financial Time Seies, 2nd edition, by Ruey Tsay Based on an mba couse taught by the autho, this coves a wide ange of topics, fom Box-Jenkins modeling, though ach and its elatives, duation models, continuous time models, value at isk calculations, and multivaiate time seies and volatility analysis. It includes ats pogams fo ach, non-linea volatility models and duation models. (sca is used fo basic time seies methods.) A Guide to Moden Econometics, 3d Edition, by Mano Vebeek Vebeek notes that moden softwae tools have made it elatively easy fo eseaches to apply the latest techniques without necessaily undestanding them well enough to be awae of potential poblems inheent in these techniques. This book is designed to help fill the gap between intoductoy econometics texts, which tend not cove these techniques at all (o only deal with idealized cases), and moe advanced texts, which ae often too advanced to be useful to many pactitiones. It aims to familiaize the eade with a wide ange of topics in moden econometics, focusing on what is impotant fo doing and undestanding empiical wok. Econometic Analysis of Coss Section and Panel Data 2nd Edition, by Jeffey Wooldidge Intended as a second semeste gaduate text, this book examines the special poblems that the econometician must face in applying linea egession, instumental vaiables/gmm and su estimatos to coss section and panel data. Also coves a wide ange of non-linea models: pobit, logit, censoing and sample selection, count data and duation models. This includes almost all techniques coveed in Chapte 14 of the RATS Use s Guide plus many moe.

6 Databases US Economic Data fom Have Analytics In patneship with Have Analytics, we ae pleased to povide ou customes with high quality U.S. economic database sevices at vey easonable pices. Thee ae thee packages fom which to choose: USECON Database usecon (U.S. Economic Statistics) is Have s pimay database of U.S. economic and financial data. It includes appoximately 12,000 seies, including national accounts, pices, housing, constuction, industial poduction, inteest ates, money supply, and much moe. USECON Plus USNA Databases Puchases of the usecon database have the option of also subscibing to the usna (U.S. National Accounts) database, which offes an additional 20,000 seies with complete national income and poduct accounts data fom the Bueau of Economic Analysis. These povide detailed infomation such as monthly pesonal consumption expenditues and pesonal income. US1 Database The us1 database is a subset of the usecon database, containing appoximately 750 of the most commonly-used data seies. Distibution Details The data ae supplied on cd, both in ats fomat, and in Have s dlx (Data Link Expess) fomat. ats uses can access the ats files diectly using ats o the atsdata utility pogam. Customes with Vesion 5 o late of WinRATS can also ead data diectly fom the dlx vesions of the data files. The cd also includes ou menu-diven atsdata data-management softwae, fo customes who do not have ats o Have s dlx softwae. The databases ae offeed as a one-yea subsciption. Commecial institutions will eceive updates evey month. Academic institutions can choose monthly updates, quately updates, o just a single copy of the database (the Annual subsciption). OECD Main Economic Indicatos Database The oecd mei database is available in Full and Seven County vesions. The Full vesion includes data on moe than 30 counties, including Westen Euope, the U.S., Canada, Japan, Tukey, Austalia, New Zealand, Mexico, Russia, and the fome Soviet epublics. The seven county vesion includes only the G7 counties. The data fo most counties include gdp and its majo components, poduce and consume pice indexes, money stock and elated measues, majo inteest ates, industial poduction indexes, unemployment ates, exchange ate vs. the dolla, and the geneal stock maket index. Fo lage counties, you will also find data on odes, shipments, and inventoy stocks, plus geate disaggegation on the pice and industial poduction indexes. Many of the monthly seies ae available in both seasonally adjusted and unadjusted foms. You can puchase a single copy of the oecd database, o you can puchase quately o monthly subsciptions. The data ae supplied on cd, in ou convenient ats data file fomat, with one file pe county. You can ead the data diectly into ats, o use the included atsdata utility pogam to view, pint, o gaph data, o expot data into text files, Excel speadsheets, and othe fomats. Academic institutions qualify fo discounted picing, as noted in the pice table at ight. Database Poducts Have Analytics USECON, Monthly $4,000 USECON plus NA, Monthly $5,000 US1, Monthly $1,200 USECON, Monthly, Academic $3,000 USECON, Quately, Academic $1,500 USECON, Annual, Academic $1,000 USECON + NA, Monthly, Academic $3,750 USECON + NA, Quately, Academic $2,000 USECON + NA, Annual, Academic $1,500 US1, Monthly, Academic $900 US1, Quately, Academic $750 US1, Annual, Academic $500 OECD MEI Full, Monthly $2,100 Full, Quately $1,500 Full, Annual $1,000 G7, Monthly $1,600 G7, Quately $1,000 G7, Annual $600 Full, Monthly, Academic $1,680 Full, Quately, Academic $1,200 Full, Annual, Academic $800 G7, Monthly, Academic $1,280 G7, Quately, Academic $800 G7, Annual, Academic $480 Textbooks Desciption Quant Pice Tot Applied Econometic Time $120_= RATS Handbook, by Walte $40_= by Walte Endes Intoductoy Econom. fo Finance RATS Handbook fo I.E. fo F. by Chis $35_= Econometics of Financial $85_= by Campbell, Lo, and MacKinlay Into to State Space Time Seies Commandeu and $45_= Time Seies Analysis by State $90_= Methods, Dubin and Koopman Time Seies Analysis, by J. $80_= Econometics, by Fumio Hayashi The Cointegated VAR Model by Kataina Juselius Bayesian Econometics by Gay Koop Analysis of Financial Time Seies, by Ruey Tsay A Guide to Moden Econometics, by Mano $60_= Econometic Analysis of Coss $70_= and Panel Data, by Wooldidge