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RATS Newsletter (Apr, 2019)

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Rats training

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List of RATS Features

Below is a listing of many of the key features supported by RATS. Please note that RATS is designed to be a very powerful and flexible program, so there is no way to list all of its capabilities here.

Statistical Methods

Estimation Techniques

  • Multiple regressions including stepwise
  • Regression with autoregressive errors
  • Heteroscedasticity/serial-correlation correction, including Newey-West
  • Non-linear least squares
  • Two-stage least squares for linear, non-linear, and autocorrelated models
  • Seemingly unrelated regressions and three-stage least squares
  • Non-linear systems estimation
  • Generalized Method of Moments
  • Maximum likelihood estimation
  • Constrained optimization
  • Extensive built-in hypothesis testing capabilities
  • Pre-written procedures for a huge variety of other tests, including unit-root, stability, and much more
  • Limited and discrete dependent variable models: logit, probit, censored/truncated (Tobit), count models
  • Panel data support, including fixed and random effects estimators
  • Non-parametric regressions
  • Kernel density estimation
  • Robust estimation
  • Recursive least squares
  • State-space models, including Kalman filtering and smoothing, simulations, and optimal control models
  • Neural network models
  • Linear and quadratic programming
  • Dynamic Stochastic General Equilibrium (DSGE) models

Time Series Procedures

  • Easy to specify lags and leads for time-series model estimation and analysis
  • ARIMA and ARMAX models including multiplicative seasonal models; support for arbitrary lag structures
  • Transfer function/intervention models
  • Error correction models
  • Kalman filter
  • Spectral analysis


  • Time series models
  • Regression models
  • Exponential smoothing
  • Static or dynamic forecasts
  • Simultaneous equation models (unlimited number of equations)
  • Simulations with random or user-supplied shocks
  • Forecast performance statistics, including Theil U statistics

Vector Autoregressions (VARs)

  • Unmatched support for VAR models
  • Error Correction models
  • Structural VARs. Choice of factorizations, including estimating a factor matrix from a covariance matrix model
  • Impulse responses, with Monte Carlo and Importance Sampling techniques for standard error bands
  • Forecasting
  • Variance decomposition
  • Historical decomposition
  • Extensive hypothesis testing tools
  • CATS 2.0 add-on provides industry-leading cointegration analysis

ARCH and GARCH Models

  • Univariate and multivariate, including BEKK, diagonal, CC, DCC, and Vech multivariate models
  • Support for GARCH-in-mean models
  • Additional exogenous variables in mean and/or variance equations
  • Normal, t and GED distributions
  • Exponential and Asymmetric models
  • Robust standard errors

Working With Data

Data Entry

  • Menu-driven Data Wizards for reading in data
  • Reads and writes Excel® files (including Excel 2007), text files, Stata®, Eviews®, Matlab®, Haver databases, and other formats
  • Pro version supports SQL/ODBC access, online access to the FRED® database, CRSP® data, and more
  • On-screen data viewer and editor, with point-and-click graphing and statistics tools
  • Can handle virtually any data frequency, including daily, weekly, intra-day, and panel data
  • Can automatically compact or expand data to different frequencies
  • RATS data file format is fast and easy, supports all frequencies, and allows you to store series of different frequencies on the same file

Data Transformations

  • Flexible transformations with algebraic formulas
  • Easy to create trend series, seasonal, and time period dummies
  • Extensive filtering operations, including Hodrick-Prescott, Henderson, Spencer, and custom filters
  • Supports regular, seasonal, and fractional differencing


  • Time series graphics
  • X-Y scatter plots
  • Dual-scale graphs
  • Box plots
  • Contour graphs
  • Ability to arrange multiple graphs on a single page
  • Copy-and-paste graphs into other applications
  • Export graphs to many formats, including PostScript and Windows Metafile
  • User can customize attributes such as line thickness, colors and grayscale levels, and fill patterns


Interactive Mode Environment

  • Text-editor based
  • Point-and-click “wizards” for many tasks, greatly enhancing ease-of-use
  • Saved programs can be re-run with just a few mouse clicks
  • Designed so that you can reproduce results, output, and graphs easily and accurately (a critical but often overlooked requirement for producing reliable, publication-quality results)
  • True multiple window support. Simultaneously view your input commands and output, spreadsheet-style “report” windows, graphs, and more


  • Extensive looping capabilities and support for applying operations to lists of variables make it possible to automate many repetitive tasks
  • You can write procedures, which can perform complex tasks with a single instruction, and write your own callable functions
  • A library of procedures written by RATS users from around the world is available free of charge on our web site
  • A variety of interface-related instructions allow you to create your own drop-down menus, custom dialog boxes, and more

Report Capabilities

  • Strong focus on making it easy to get results easily and accurately into documents or other applications
  • Tables of output can be viewed in Report Windows, for easy exporting or copying-and-pasting into other applications
  • Powerful report-generation features for constructing and exporting your own tables of information
  • Easy control over displayed precision in output
  • TeX: Support for exporting TeX tables

RATS Professional

The Professional versions of RATS adds the following features not found in the Standard version:

  • Support for reading databases via ODBC/SQL
  • Census Bureau X12-ARIMA seasonal adjustment routine
  • Support for FAME data files (for Windows and unix/linux)
  • Support for CRSP data files
  • Online access to the FRED database