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