We recognize that many of our users may be cut off from their offices and computers on which they have RATS installed. If you have a (recent) single-user license, you can install it on a home computer by repeating the installation process from before; if the original installation on your office machine was handled by your IT staff, you will need to contact us for directions. For users/user bases with the current version of the software (v10), we also have a short-term license version which should fill in the gap until (we hope) things start to open up again.
This is our newest e-course (the first we've offered in several years). This will examine the practical and theoretical issues regarding "unit root" behavior of data, including the effects for inference on various types of structural breaks. It will also cover the related (and generally more technically demanding) long-memory methods of fractional integration and differencing.
The main stories are "Conditional Forecasting with Restricted Shocks"; use of %EQNxxxxx functions to simplify the modeling of the mean in non-linear models, discussion of difficulties interpreting "spillover" tests in GARCH models, and the use of the Davies test in switching models.
We're pleased to announce that RATS Version 10 is now available. This includes fully updated manuals, new features for handling data with irregular dates, improved wizards, new features for GARCH and much more. The November newsletter includes other details.
The main stories are "Diagnostics on Large Data Sets": a section from the updated GARCH course which explains the common problem of models on large data sets (1000's of observations) failing to pass standard diagnostics even when the model seems perfectly fine and "Toda-Yamamoto Causality Test: A Cautionary Tale" which explains how the often-used alternative to the Granger test is fundamentally flawed.
The ARCH/GARCH and Volatility Models e-course has been updated to a 2nd edition, which includes new and expanded treatment of many topics in GARCH modeling.
The main stories are "Markov-Switching GARCH models", which is a summary of the section from the new edition of the Structural Breaks course; "How to Switch if you Must" describes the differences between three common types of regime-based behavior (structural break, threshold break and Markov switching) and how to choose which is appropriate; "Evaluation of GARCH Forecasts" looks at difficulties with using common forecast error statistics (like RMSE) in evaluating out-of-sample behavior of GARCH models.
The Structural Breaks and Switching Models e-course has been updated to a 2nd edition, which includes new and expanded treatment of many topics in models with thresholds, breaks and Markov switching.
The State-Space/DSGE e-course has been updated to a 2nd edition, which more than doubles the size of the original.
We've posted the worked examples for the 4th edition of Walter Enders' Applied Econometric Time Series, Wiley, 2015. This is an intermediate book on applied time series, and covers a broad range of applications from ARIMA models to GARCH models to cointegration. See the single book-browser for more.
The VAR e-course has been updated to a 2nd edition, which adds over 50% more material.
The long-awaited full version of our Handbook to accompany Juselius' The Cointegrated VAR Model text is now available!
Estima develops and sells RATS (Regression Analysis of Time Series), a leading econometrics and time-series analysis software package.
RATS is used worldwide by economists and others for analyzing time series and cross sectional data, developing and estimating econometric models, forecasting, and much more.
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