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 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