RATS (Regression Analysis of Time Series) is a fast, efficient, and comprehensive time series analysis and econometrics software package. RATS makes simple tasks easy to accomplish, while its command-driven interface and extensive programmability also make it a very flexible and powerful tool for more complex jobs.

State Space Methods in RATS

This paper provides an introduction and overview to working with state space models in RATS.

RATS Standard 9.0

RATS provides an interactive editor that allows you to quickly experiment with different models or procedures, without having to repeat earlier steps each time, with the batch mode automatically able to read and execute instructions from one or more input files, and saves the output to disk.

RATS 9.0 provides all the basics, including linear and non-linear least squares, forecasting, and models, but goes far beyond that with support for techniques like GMM, ARCH and GARCH, vector autoregressions (VARs), spectral analysis, state space models and DSGE, and much more.

It can handle time series of virtually any frequency, including daily and weekly, as well as panel data, and produces publication-quality graphs for printing or importing directly into word processors.

Menu-driven "Wizards" provide a point-and-click interface for many common tasks, making RATS an ideal tool for new users and for educational settings.

Meanwhile, the powerful command-driven language at the heart of the program remains easy to learn and use for simple jobs, while also allowing users to automate complex or repetitive tasks and even write sophisticated menu- and dialog-driven end-user applications.

RATS is available for Windows, Macintosh, UNIX, with complete compatibility across platforms.

New in version 9.0

Interface Improvements

  • The on-line help that we used in prior versions has been completely redone. It now has pretty much the full content of the Reference Manual, with some important extras: there are pages describing over 100 of the most important procedures, most with a full description of the syntax, plus examples, similar to what we’ve had all along with the regular instructions. There are also pages with the main examples. In all, it has the equivalent of about 2000 pages of printed documentation. And this is all 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

  • 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. Just as an example, we have revised the commonly used @MONTEVAR and @MCVARDODRAWS procedures to allow a FUNCTION to be used to provide a non-standard factorization. In the past, you would have to create a custom version of the full procedure do that.

  • 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 univariate variances for CC and DCC models using the EGRACH 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.

  • DATA adds the option ORG=MULTILINE, which allows you to pull data out of a spreadsheet file when a particular series occupies a block of rows.

View the full list of new features here

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RATS Professional 9.0

Professional version 9.0 of RATS adds the following features not found in the Standard version:

  • 64-bit version

  • Support for CESP and FRED databases

  • ODBC/SQL database support

  • Census Bureau X12 seasonal adjustment routine

  • Support for FAME data files (for Windows and UNIX/LINUX)


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