CATS Cointegration Package

If you need to do any kind of comprehensive cointegration testing and analysis, we recommend that you use the CATS (Cointegration Analysis of Time Series) package for RATS (available separately).

CATS is a large collection of RATS procedures, which are invoked by a single call to the main @CATS procedure. Once loaded into memory, CATS provides an extensive suite of hypothesis testing and analysis tools using a highly interactive menu- and dialog-driven interface (with the option of batch-mode analysis as well). These include operations for selecting lag lengths, selecting and testing the choice of cointegration rank, testing a wide variety of restriction hypotheses, generating various types of graphical analysis, exploring models, and much more. You can also export the estimated model from cats for further analysis in RATS.

For a comprehensive treatment of cointegration analysis, we recommend The Cointegrated VAR Model: Methodology and Applications, by Katarina Juselius (Oxford University Press, 2006). CATS version 2 was developed in conjunction with the writing of the textbook, so the book will be of particular interest to anyone using CATS, but anyone interested in the topic of cointegration (or in sound principles for econometric analysis) should find it valuable. A PDF “workbook” and example code showing how to implement many of the examples from the textbook are available on our website.