RATS Programming Manual is an “e-book” which can be downloaded free of charge. It was written by Walter Enders from the University of Alabama. Walter is the author of Applied Econometric Time Series and the RATS Handbook for Applied Econometric Time Series, both published by Wiley and available for purchase from our web site. The description that follows was provided by Prof. Enders. See below for links to download the manual.
Note: Files updated on April 22, 2003--the PDF file now includes a hypertext "Bookmark" version of the Table of Contents that you can click on to jump to each section, and we have corrected a couple of typos).
The idea for the RATS Programming Manual was born when I was invited to give an intensive two-day workshop on RATS at the Federal Reserve Bank of St. Louis. Workshop participants all had advanced degrees in economics or statistics and most were comfortable with the standard features of RATS. Shortly after, I was invited to present a similar two-week mini-course at the Catholic University in Brasilia.
The RATS Programming Manual is intended for those who are already familiar with RATS. The level is geared to the applied econometrician conducting the type of research that is suitable for the professional journals. As such, the manual emphasizes the instructions and options that enable you to simplify repetitive tasks, write your own advanced programs and procedures, and work with vectors and matrices.
The first chapter considers linear regression, nonlinear least squares and maximum likelihood estimation. The second chapter illustrates the new features introduced in RATS 5.0 that enable you to better estimate VARs and error-correction models. Special emphasis is given to the estimation of structural VARs using RATS’ new matrix handling instructions. Instead of focusing on particular econometric techniques, the last four chapters are organized around key programming concepts as they pertain to RATS. Towards that end, a number of simple programming ideas are introduced and subsequently refined into reasonably sophisticated programs. Since it is impossible to illustrate even a small portion of the vast number of potential programs you can write, the manual tries to teach by example. All of the examples use the single data set MONEY_DEM.XLS and all of the examples are compatible with RATS 5.0. The outline is
Chapter 1: Linear and Nonlinear Estimation
Chapter 2: VARs and Error-Correction Models
Chapter 3: Loops over Dates and Series
Chapter 4: IF Statements and Monte Carlo Experiments
Chapter 5: Vector and Matrix Manipulations
Chapter 6: Writing Your Own Procedures
Let me borrow a few sentences from the first chapter. I tell my students that state-of-the-art research requires them to go “off the menu.” I’m being a bit facetious, but by the time a procedure is on the menu of an econometric software package, it’s not new. This book is especially for those of you who want to start the process of “going off the menu.”
Click on one of the links below to download the RATS Programming Manual:
Note that you will need Adobe Acrobat Reader version 4.0 or later to read the PDF file. You can obtain a copy of Reader free of charge from Adobe.
The RATS Programming Manual is copyright 2003, Walter Enders. It is distributed free of charge, and is intended for personal, non-commercial use only. You may view, print, or copy the book for your own personal use. However, you may not modify, redistribute, republish, sell, or translate the material without the express permission of the copyright holder.
In addition to the new Programming Manual, we have been distributing Walter Enders' RATS Handbook for Econometric Time Series and Applied Econometric Time Series for some time now, and both have proven to be very popular among RATS users. The Handbook in particular is a very valuable resource for beginning RATS users, as well as experienced users looking to learn more about time series techniques.