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
Forecasting
- 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
Graphics
- 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
Interface
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
Programmability
- 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