RATS (Regression Analysis of Time Series) Программа для
эконометрического анализа временных рядов, широко используется в
учебных целях (существуют прикладные курсы, основанные на данном
пакете, например этот.
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
Built-in hypothesis testing instructions
Logit and probit
Fixed/random effects estimators
Consistent covariance matrices, including "White" and "Newey-West"
State-space models
Neural Network models
Linear/Quadratic programming
Keel density estimation
Временные ряды:
ARIMA models including multiplicative seasonal models (supports arbitrary lag structures)
Vector autoregressions
Impulse responses
Variance decompositions
Structural VAR's
Error Correction Models
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 X-Y graphs
Arrays of graphs on a page
Log scales
Exports graphs to PostScript, HPGL, PIC, Windows Metafile, and Macintosh PICT
Export can be done automatically, as graphs are produced
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
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
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
Built-in hypothesis testing instructions
Logit and probit
Fixed/random effects estimators
Consistent covariance matrices, including "White" and "Newey-West"
State-space models
Neural Network models
Linear/Quadratic programming
Keel density estimation
Временные ряды:
ARIMA models including multiplicative seasonal models (supports arbitrary lag structures)
Vector autoregressions
Impulse responses
Variance decompositions
Structural VAR's
Error Correction Models
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 X-Y graphs
Arrays of graphs on a page
Log scales
Exports graphs to PostScript, HPGL, PIC, Windows Metafile, and Macintosh PICT
Export can be done automatically, as graphs are produced
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
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