We've updated RATS 11 to version 11.1. Version 11 completes the process of incorporating all the documentation into the help; the content from the User's Guide and
Introduction have now been added. This is available both on our web site and with the updated software.
Version 11 adds the new Project file type which organizes program, data, source and (optionally) output, graph and reports into a single easily portable object.
It also adds a new instruction for doing Penalized Least Squares (such as LASSO) and a more flexible method fo doing sign restrictions in VARs.
11.1 includes the courses of all six e-courses as part of the distribution.
The main stories are about the release of Version 11. Also the inclusion of the Stock and Watson, Introduction to Econometrics, 4th ed examples (some of which use features added in v11)
The main stories are the description of the updated version 10.10c, OS instruction, accessibility support and updated examples and procedures.
The main stories are the description of the updated version 10.1, updated help files, use of Sparkle updater, updated examples and procedures, Diebold-Yilmaz spillover analysis.
This is a PDF with examples which uses various techniques in RATS to for simulating and estimating various forms of the commonly used SEIR (Susceptible, Exposed, Infected, Recovered) model for infections.
This is our newest e-course. 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.
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 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.
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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