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RATS 5.0 (Regression Analysis of Time Series)

Опубликовано на портале: 22-09-2003
Организация: Estima (Estima)
Тематические разделы: Экономика, Эконометрика
Тип: Платные

RATS (Regression Analysis of Time Series) Программа для анализа временных рядов, широко используется в учебных целях (существуют прикладные курсы, основанные на данном пакете).

Процедуры реализованные в RATS (программа является гибкой в реализации новых процедур, поэтому приведенный ниже список является базовым, но не исчерпывающим):

Статистические

Методы оценивания

  • Multiple regressions, including stepwise
  • Regressions with autoregressive errors
  • Regressions with heteroscedasticity correction
  • Seemingly unrelated regressions and three-stage least squares
  • Non-linear least squares
  • Two-stage least squares for linear, non-linear, and autocorrelated models
  • Maximum likelihood estimation, supporting a wide variety of problems including ARCH, GARCH and related models. Supports multivariate likelihood functions, and offers a simplex estimation method for non-differentiable functions
  • Non-linear systems estimation
  • Generalized Method of Moments
  • Constrained optimization (Version 5.0)
  • Built-in hypothesis testing instructions
  • Logit and probit
  • Fixed/random effects estimators (Version 5.0)
  • Consistent covariance matrices, including "White" and "Newey-West"
  • State-space models (Version 5.0)
  • Neural Network models
  • Linear/Quadratic programming
  • Kernel density estimation (Version 5.0)

Временные ряды
  • ARIMA models including multiplicative seasonal models (supports arbitrary lag structures)
  • Vector autoregressions
  • Impulse responses
  • Variance decompositions
  • Structural VAR's (Version 5.0)
  • Error Correction Models (Version 5.0)
  • Kalman filter for sequential estimation
  • Transfer functions
  • Intervention models
  • Spectral analysis

Методы предсказания

  • 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


Другие реализованные возможности программы

Графика

  • Line, symbol, bar, stacked bar and filled graphs for time series
  • Dot, symbol, line, bar and filled X-Y graphs
  • Dual-scale (overlay) time series graphs and (Version 5.0) X-Y graphs
  • Arrays of graphs on a page
  • Log scales (Version 5.0)
  • Exports graphs to PostScript, HPGL, PIC, Windows Metafile, and Macintosh PICT
  • Export can be done automatically, as graphs are produced (Version 5.0)

Ввод данных

  • Reads and writes ASCII, DIF, PRN, DBF and binary files
  • Reads and writes Lotus Worksheet (including WK3) and Excel XLS spreadsheet files
  • Write HTML tables (Version 5.0)
  • Supports our own RATS data file format, which is fast and easy, supports all frequencies, and allows mixing of frequencies on a single file
  • RATS format now portable across DOS, Windows, Macintosh, and UNIX platforms
  • On-screen data editor
  • Menu-driven RATSDATA utility program for maintaining, graphing, importing, and exporting data
  • Can handle virtually any data frequency, including daily, weekly, intra-day, and panel data
  • Easily converts among different data frequencies
Преобразование данных
  • Flexible transformations with algebraic formulas
  • Easy to create trend series, seasonal, and time period dummy variables
  • Specialized differencing and filter operations

Ключевые слова

См. также:
Clive W. J. Granger
[Книга]
Barry K. Goodwin, Daniel C. Harper
Journal of Agricultural and Applied Economics. 2000.  Vol. 32. No. 3. P. 543-553. 
[Статья]
M. Hashem Pesaran, Yongcheol Shin
Economics Letters. 1998.  Vol. 58. No. 1. P. 17-29. 
[Статья]
Robert F. Engle, Kenneth F. Kroner
Econometric Theory. 1995.  Vol. 11. No. 1. P. 122-150. 
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