CATS: Version 2.0!
Version 2.0 is a major update to CATS that introduces significant new econometrics capabilities, a re-designed
and expanded user interface, and a new, significantly expanded User's Manual. See
CATS 2: A Closer Look for screen shots showing some of the menu operations.
New Econometrics Features
- Bartlett small-sample correction of the tests for the cointegrating rank and hypotheses on Beta.
- A new "CATSmining" automated model-selection procedure.
- Estimation and hypothesis testing of the I(2) model, including testing hypotheses on the multi-cointegrating relations and the I(1) relations among the system variables
- Estimation of structural moving average models.
- System reduction tests for lag length determination.
- Missing observations in data allowed.
- Updated recursive estimation routine includes new tests for eigenvalue fluctuation, constancy of the cointegrating space and the log-likelihood function.
- Allows for backwards recursion for investigating parameter constancy over the beginning of the sample.
- For most model specifications, CATS now reports the correct critical values and p-values for the rank test. For other models, you can simulate the critical values using a built-in procedure.
- Includes a procedure for estimation and identification of structural moving average models.
New Interface Features
- All-new user interface, with separate menus for various categories of operations, including I(1) analysis, I(2) analysis, graphics, and automated tests.
- All model settings, including the deterministic terms and lag structure, are menu-controlled, so you can now change the underlying VAR model without quitting and re-starting CATS.
- All procedure settings, such as maximum number of iterations and convergence criteria for the switching algorithms, screen output format, and more, can be set via a "Preferences" dialog box.
- The estimated model can now be exported as a RATS "MODEL" making it much easier to compute forecasts and impulse responses.
- The graphs created by CATS can be customized.
- Output can be exported in tex or csv formats.
- Restrictions can be saved and re-loaded, making it easier to replicate analyses or continue your work at a later time.
- CATS offers the option of running in a true batch mode that does not require user interaction to generate basic output. This allows it to be used in loop.
These features carry over from Version 1.0:
- "Batch" tests for long-run exclusion, weak exogeneity, and stationarity on all model variables (now available from the cats menu). Also includes a test for unit vectors in alpha, which corresponds to testing if the cumulated disturbances of any of the variables do not enter the common trends.
- Support for partial systems, models with structural breaks, and various forms of dummy variables.
- Multivariate and univariate tests of the estimated residuals.
- Recursive estimation for assessing constancy of the estimated model parameters, including tests for constancy of the
estimated eigenvalues, the cointegrating space, the log-likelihood function, the parameters of an identified system, and the adequacy of one-step-ahead predictions.
- Options for testing hypothesis on the long-run relations in Beta as well as on the adjustment coefficients in Alpha.
- Choice of normalization for each cointegrating vector (CATS 2 simplifies this by suggesting default choices).
- Estimation of the parameters of the moving average model, e.g. the long-run impact matrix C and the loadings to the common trends (with asymptotic t-values).
- A large variety of preset graphics illustrating various key aspects of the estimated model.