WinRats時間序列分析軟體(Regression Analysis of Time Series)

可搭配 CATS (Cointegration Analysis of Time Series) 模組，透過一連串的對話方塊，進行學業界最先進複雜的共整合分析，甚至可進行I(2)模型分析。可進行向量與矩陣運算。並提供程式語言，使用者可以自訂最符合自己需求的運算程序。

支援完整的計量模型，包括ordinary、weighted和generalized least squares (GLS)，seemingly unrelated regressions (SUR)，非線性迴歸，vector autoregressions (VAR’s)，ARIMA，GMM，2SLS，3SLS，ARCH和GARCH等，可直接取用Haver Analytics DLX資料庫，並可以處理所有資料，包括panel data

• 包含interactive mode和batch mode兩種執行模式
• 可繪製輸出最專業的高品質時間序列散佈圖
• 新的互動程式語言甚至可以自訂功能表和對話方塊

WinRats Professional 版本除了原有的RATS功能外，多增加X11季節性調整(Seasonal Adjustment) 的功能，其特色為:

• Adjusts both quarterly and monthly data
• Options for trading day and holiday adjustments
• Graduated extremes options for handling outliers
• Can easily adjust large numbers of series

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
• Asymmetry
• Robust standard errors

• Menu-driven Data Wizards for reading in data
• Reads and writes Excel files, text files, Haver databases, and other formats
• Pro version supports SQL/ODBC
• 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

• 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

• 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

• The Professional versions of RATS add the following features not found in the Standard version:
• Support for reading databases via ODBC/SQL
• Census Bureau X11 seasonal adjustment routine
• Support for FAME data files (for Windows and unix/linux)
• Support for CRSP data files

• CATS

CATS Cointegration Analysis

CATS (Cointegration Analysis of Time Series) is a set of cointegration analysis procedures written by Jonathan G. Dennis, Katarina Juselius, Søren Johansen and Henrik Hansen of the University of Copenhagen for use with our RATS software. CATS was written .

The CATS 2.0 package includes the CATS procedure on CD and a completely revised 200-page manual describing the econometrics of the cointegrated VAR model and how to interpret the output. All features of the program are illustrated by a worked example. The manual also includes a technical appendix describing the mathematics of CATS. Sample data and set-up files for the illustrative examples are also included.

 

What’s Included?
The CATS 2.0 package includes the CATS procedure on CD and a completely revised 200-page manual describing the econometrics of the cointegrated VAR model and how to interpret the output. All features of the program are illustrated by a worked example. The manual also includes a technical appendix describing the mathematics of CATS. Sample data and set-up files for the illustrative examples are also included.

Requires RATS 6.2 or Later
Note that you must have a copy of the RATS software in order to use CATS. CATS 2.0 will work with Version 6.2 or later of RATS.

• a PC with a Pentium or compatible 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 90Mb of free disk space (for a full installation, including all examples, procedures, and documentation)
• a CD ROM drive
• Windows 98, ME, 2000, XP, or Vista.

• Any Macintosh capable for running OS X 10.4 or later.
• Both PowerPC and Intel CPUs are supported natively.
• OS X 10.4 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 90Mb of free disk space (for a full installation, including all examples, procedures, and documentation)
• CD-ROM drive