Rats 9

RATS (Regression Analysis of Time Series) is a fast, efficient, and comprehensive econometrics and time series analysis software package. For more than two decades, it has been the econometrics software of choice at universities, central banks, and corporations around the world. Our current release, Version 8.0, is easier to use than ever while continuing to offer the most advanced tools available for cutting-edge econometrics research.

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 we can list all of its capabilities here.

Estimation Techniques

• Multiple regressions, including stepwise
• Regressions 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

• 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
• Simultaneous equation models (supports unlimited number of equations)
• Simulations with random or user-supplied shocks
• Forecast performance statistics, including Theil U statistics

• 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

• 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 convert 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 Windws, 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
  RATS Professional

RATS Professional

The professional level of RATS adds the following features not found in the Standard level:

•  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

We’re pleased to announce that version 9 of RATS is now available. This is the end of a multi-year update cycle which has included the many additions that came with versions 8.1, 8.2 and 8.3.

Updated Manuals
We added more information in the User’s Guide chapters on “ARCH/GARCH and related models”, “Threshold, Breaks and Switching” and “Cross Section and Panel Data”. This partly reflects the fact that these were the topics of our three most recent e-courses, and the GARCH and panel data instructions saw quite a bit of change as a result. Also GARCH and the regime-switching models can often require a bit of care to get reasonable results (or results at all), which has produced many of our technical questions in recent years. As much as possible, we try to address those issues in the revised documentation.

Interface Improvements

• The online help feature has been completely revised. It now has the full content of the Reference Manual, with some important extras: over 100 of the most important procedures with a full description of syntax and examples. It is also fully linked up with cross-references for ease of use.
• The GARCH wizard has been split into separate wizards for univariate and multivariate models. A new wizard for handling estimation of cointegration models provides easy-to-use access to the @JOHMLE, @FM and @SWDOLS procedures.
• File-Properties shows the full file name of an open file (in a form where you can easily copy and paste). This can be handy when you have long paths so the name gets truncated.
• Help-News… gets a “news feed” off our web site with links to updated information.
• With version 8.3, we replaced the editor which actually runs most of the program with a new public domain editor called Scintilla. This adds the ability to put markers at locations in your program and includes “regular expressions” for more sophisticated searches. A few oddities in its operation (particularly skipping lines if you hold down the Enter key) have been corrected with version 9.
• Another important change with v8.3 that’s even better with v9 is Find in Files. This allows you to search for a string (or “regular expression”) across the full set of example programs so you can quickly locate example programs that use DLM or do a BEKK GARCH or an SPGRAPH,etc. It gives a huge boost to your productivity.

Programming Updates

• The most important change to the program itself is that you can now pass functions as parameters and options.This was a big hole in the RATS programming language–we haven’t even begun to figure out all the things that will be made easier or (even) possible using this.
• We introduced the HASH and LIST aggregators with version 8.2, but with version 9, we’ve added enough support to these to make them truly useful. These have been added to the documentation and examples of their use is now included.
• The diagnostics for attempts to access out-of-range array elements have been improved, pointing you towards the likely source. You also now get better information about mistyped identifiers, as the program will list possible near-matches.

Changes to Instructions

• You can now write data to XLSX and not just XLS. This applies to any instruction which writes data and to the export operations from REPORT windows.
• SPGRAPH can now put keys out the outside of a matrix of graphs.
• The GARCH instruction adds the new option VARIANCES=KOUTMOS to compute the univariatevariances for cc and dcc models using the egarch formulation from Koutmos(1996) “Modeling the Dynamic Interdependence of Major European Stock Markets”, Journal of Business Finance and Accounting, vol 23, 975-988. It also adds the STDRESIDS option for computing standardized residuals (univariate or jointly standardized multivariate).
• IMPULSE has a new FLATTEN option for more easily saving into %%RESPONSES in Monte Carlo methods. Its FACTOR option can accept reduced numbers of columns (shocks), which makes it easier to handle situations where you are particularly interested in only a subset of the structural shocks.
• HEIGHT and WIDTH have been added to GRPARM to allow standardized sizing of graphs.
• GRAPH has a new SERIES option which can take a VECTOR of SERIES or a VECT[INTEGER] with series handles as input. This is particularly handy for doing graphics in Vector Autoregressions, where the number of graphs needed can change from application to application.
• The DATA instruction adds the new option ORG=MULTILINE which allows you to pull data out of a spreadsheet file when a particular series occupies a block of rows.

RATS for Windows and Macintosh

The Windows and Macintosh versions include:

• The RATS software
• RATSData (a stand-alone menu-driven data management utility program)
• A huge collection of RATS procedures and example programs, including worked examples from many popular econometrics textbooks.
• Extensive built-in Help systems
• Over 1,000 pages of printed documentation, including the Getting Started guide, the RATS User’s Guide and the RATS Reference Manual.
• Over 1,200 pages of documentation, including an Introduction, the RATS User’s Guide and the RATS Reference Manual. PDF’s of all documentation are always included; you can choose to get printed manuals for an added cost plus any added shipping.

System Requirements for WinRATS:

WinRATS runs on all recent versions of Windows, including Windows 8, 7, Vista, and XP, in either 32-bit or 64-bit. Here are the minimum system requirements:

• A PC with a Pentium or later processor
• Memory requirements will depend largely on the size of the data sets you need to work with. You will need approximately 1 Megabyte of RAM for every 128,000 data points. The RATS program itself is fairly compact, and only requires about 1 Megabyte of RAM to load.
• A hard disk drive with at least 175Mb of free disk space (for a full installation, including all examples, procedures, and documentation)
• Windows 8, 7, Vista or XP

System Requirements for MacRATS:

MacRATS requires an Intel-based Mac and requires version 10.6 or later of OS X. It has been tested with all OS X upgrades through Yosemite.

• Any Macintosh capable for running OS X 10.6 or later.
• OS X 10.6 or later
• Memory requirements will depend largely on the size of the data sets you need to work with. You will need approximately 1 Megabyte of RAM for every 128,000 data points. The RATS program itself is fairly compact, and only requires about 1 Megabyte of RAM to load.
• A hard disk drive with at least 175Mb of free disk space (for a full installation, including all examples, procedures, and documentation)

RATS for UNIX and Linux

System Requirements:

• Processor: virtually any CPU running UNIX; Intel Pentium-based or later PC running Linux; a Macintosh running Mac OS X (PowerPC or Intel CPU)
• An ANSI-standard C/C++ compiler (optional for Linux)
• X Windows and Motif libraries (not required for batch mode operation)
• A CD ROM drive
• Disk Space: 100Mb of available space for a full installation
• Memory Requirements: depends largely on the size of the data sets that will be used.