Access Statistics for Tom Doan

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
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Forecasting and Conditional Projection Using Realistic Prior Distributions 1 8 26 1,268 3 18 59 2,926
Total Working Papers 1 8 26 1,268 3 18 59 2,926


Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
ABLAGS: RATS procedure to generate Arellano-Bond set of instruments 0 0 3 89 1 2 11 355
ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test 0 0 2 140 1 4 10 547
ADTEST: RATS procedure to perform Anderson-Darling test for normality 0 0 2 66 0 3 10 369
AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference 0 0 1 42 0 0 3 246
APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test 1 1 2 147 3 4 10 556
APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood 0 0 1 68 0 0 1 288
ARAUTOLAGS: RATS procedure to compute information criteria for AR models using Yule-Walker or Burg 0 0 3 30 0 0 5 130
ARCHTEST: RATS procedure to test a series for ARCH effects 1 1 6 132 1 1 6 358
ARMADLM: RATS procedure to set up a DLM (state-space model) based upon an ARMA model 0 0 0 44 0 1 7 193
ARMASPECTRUM: RATS procedure to graph the spectral density for an input ARMA model 0 0 1 19 0 0 2 90
BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas 0 0 0 87 0 0 5 421
BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes 1 5 14 584 6 17 53 1,668
BAYESTST: RATS procedure to perform Bayesian Unit Root test 0 0 0 53 0 1 2 215
BDINDTEST: RATS procedure to perform battery of independence tests 0 0 0 31 0 0 0 132
BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d 0 0 1 89 2 8 38 482
BETAPARMS: RATS procedure to compute parameters required for beta distribution 0 0 0 4 0 0 0 55
BICORRTEST: RATS procedure to compute Hinich bi-correlations test for autocorrelation 0 0 0 35 0 0 0 159
BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection 0 0 2 81 1 2 8 332
BJTRANS: RATS procedure to aid in selection of preliminary transformation 0 0 0 16 0 1 1 108
BKFILTER: RATS procedure to implement band pass filter using Baxter-King method 0 0 2 109 1 3 15 542
BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition 0 1 4 158 1 3 9 397
BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects 0 0 0 31 3 6 18 209
BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization 0 1 4 67 0 1 6 312
BRYBOSCHAN: RATS procedure to implement Bry-Boschan business cycle dating 0 0 5 487 1 3 14 1,135
CANCORR: RATS procedure to compute canonical correlations for two sets of series 0 0 0 9 0 0 0 77
CFEAT: RATS procedure to identify turning points and cyclical phases of a series 0 0 1 32 0 0 1 130
CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method 2 2 4 87 4 5 10 390
CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test 0 1 1 137 1 4 9 602
CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series 0 0 1 167 0 3 13 636
CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular 0 0 0 14 0 0 0 93
CONDITION: RATS procedure to implement conditional forecasting 0 0 0 97 0 0 5 226
CORRADO: RATS procedure to perform Corrado non-parametric event test 0 0 1 51 2 3 6 179
CORRINTEGRAL: RATS procedure to compute a correlation integral for a series 0 0 0 14 0 0 0 50
CROSSPEC: RATS procedure to compute and graph phase and coherence 0 1 1 16 0 1 1 86
CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation 0 0 0 13 0 1 1 76
CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests 0 0 2 207 2 3 11 709
CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix 0 0 0 4 0 0 1 67
DENTON: RATS procedure to distribute a series to a higher frequency using proportional Denton method 0 0 1 23 0 0 1 117
DFUNIT: RATS procedure to perform Dickey-Fuller unit root test 2 2 3 354 4 5 12 1,164
DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure 1 1 7 170 1 5 16 596
DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency 0 0 1 38 0 0 1 164
DIVISIA: RATS procedure to compute a Divisia index 0 2 2 35 0 3 4 78
DLMGLS: RATS procedure to perform GLS estimation with state-space model for errors 0 1 1 19 0 1 1 121
DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model 0 0 1 171 0 1 3 581
DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test 1 2 14 221 2 5 32 740
DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control 1 1 1 36 1 1 2 126
DURBINLEVINSON: RATS procedure to compute autoregressive representations using Durbin-Levinson recursion 0 0 0 17 0 0 0 117
EBA: RATS procedure to perform Extreme Bounds Analysis 0 0 1 62 0 0 1 201
EGTEST: RATS procedure to compute Engle-Granger test for Cointegration 1 1 2 231 4 7 16 914
EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals 1 1 1 54 1 1 2 182
ELFCALC: RATS procedure to compute empirical likelihood for a set of moment conditions 0 1 1 15 1 2 3 63
ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect 0 0 3 368 3 4 19 1,249
EQNTOACF: RATS procedure to create an ACF from an ARMA equation 0 0 1 22 0 0 2 79
ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests 0 0 0 175 3 3 13 896
EXACTINVERSE: RATS procedure to compute exact (limit) inverse with "infinite" components 0 0 0 51 0 0 0 114
FLUX: RATS procedure to compute a general Nyblom fluctuations test 0 1 3 38 0 2 7 159
FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares 0 0 1 87 0 0 1 324
FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row 0 0 1 104 0 0 2 250
GAIN: RATS procedure to compute and graph the gain and phase of a pair of series 0 0 0 4 0 0 0 51
GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution 0 0 1 9 0 0 1 52
GARCHFORE: RATS procedure to perform univariate GARCH forecasting 0 1 2 92 0 1 2 222
GAUSSHERMITE: RATS procedure to generate weights and grid points for Gauss-Hermite numerical integration 0 0 0 25 0 0 0 124
GED: RATS module to draw from Generalized Error Distribution 0 1 1 589 0 2 3 2,207
GLSDETREND: RATS procedure to perform local to unity GLS detrending 0 0 0 53 3 5 7 437
GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models) 0 0 1 56 1 2 7 258
GNEWBOLD: RATS procedure to perform Granger-Newbold forecast comparison test 0 0 0 52 0 1 4 257
GPH: RATS procedure to compute Geweke-Porter-Hudak estimate of fractional differencing 0 0 1 146 0 0 3 495
GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks 1 1 9 594 2 4 30 1,828
HADRI: RATS procedure to implement Hadri test for unit roots in panel data 1 1 3 105 1 1 14 555
HALTON: RATS procedure to generate Halton sequences 0 0 1 12 0 1 2 112
HANNARISSANEN: RATS procedure to estimate an ARIMA model using the Hannan-Rissanen algorithm 2 4 14 197 11 24 58 849
HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method 0 0 0 18 1 2 3 81
HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity 0 1 3 105 2 3 10 283
HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns 0 1 2 117 0 1 5 293
HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data 2 5 7 160 9 21 52 714
HURST: RATS procedure to compute a Hurst exponent 0 0 0 102 1 1 4 254
Hurst exponent estimation procedure 0 1 3 2,871 0 2 10 7,641
ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance 0 0 8 299 2 3 30 807
INTERPOL: RATS procedure to interpolate from one frequency to a higher one 0 0 0 33 0 0 1 172
INVGAMMAPARMS: RATS procedure to compute parameters required for inverse gamma distribution 0 0 0 8 0 0 0 60
IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test 0 1 7 197 1 2 17 954
JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis 0 0 1 199 0 1 8 493
KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test 0 0 3 165 0 1 6 663
KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model 0 0 0 19 0 0 2 131
LIML: RATS procedure to perform limited information maximum likelihood estimation 0 0 0 39 0 0 1 269
LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution 0 0 0 26 0 0 2 169
LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution 0 1 1 3 0 1 1 41
LOGSKEWTDENSITY: RATS procedure to compute log density of skew-t distribution 0 0 0 16 0 2 2 109
LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks 1 6 15 354 4 13 36 1,051
LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias 2 4 16 188 8 16 96 1,072
LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks 3 10 26 1,012 7 19 52 2,614
MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm 0 0 1 3 2 2 3 69
MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests 1 1 2 142 1 1 5 344
MANNWHITNEY: RATS procedure to perform Mann-Whitney test for comparison of samples 0 0 1 27 2 3 6 174
MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands 0 1 4 42 0 1 4 137
MCLEODLI: RATS procedure to perform a McLeod-Li test for 2nd order dependence 1 1 3 77 2 5 33 472
MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations 0 0 2 65 1 1 6 158
MCVARDODDRAWS: RATS procedure to perform Monte Carlo draws from a VAR to generate IRF's 0 0 2 80 0 0 6 177
MEANGROUP: RATS procedure to perform mean group estimator for panel data 0 0 0 55 1 1 2 167
MESA: RATS procedure to compute and graph a spectrum using Maximum Entropy Method 0 0 1 19 0 0 1 64
MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests 0 0 0 66 0 1 2 192
MIXVAR: RATS procedure to compute mixed estimation of an equation with a Bayesian prior 0 0 1 26 0 0 2 127
MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands 1 4 10 256 1 4 14 695
MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation 0 1 1 83 0 1 1 171
MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures 0 0 1 101 0 0 2 320
MSSETUP: RATS procedure to perform Markov switching general support procedures 0 0 0 129 0 0 0 238
MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures 0 1 2 128 0 1 2 260
MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures 1 2 14 390 1 6 24 771
MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis 0 0 1 110 0 0 2 448
MVARCHTEST: RATS procedure to perform Multivariate test for ARCH 0 0 4 121 0 1 8 314
MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's 0 0 1 77 0 1 3 255
MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting 0 0 5 204 1 2 12 445
MVIDENT: RATS procedure to create a Tiao-Box cross correlation matrix 0 0 0 38 0 0 1 166
MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test 0 0 1 74 1 3 7 425
MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic 0 0 1 124 0 0 4 374
NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates 1 1 2 86 1 1 4 229
OLSHODRICK: RATS procedure to compute Hodrick standard errors 0 2 7 191 1 8 19 595
PANELDOLS: RATS procedure to perform panel data group mean DOLS 0 1 5 254 0 2 12 772
PANELFM: RATS procedure to perform panel data group mean FMOLS 0 3 9 482 2 17 53 1,766
PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model 0 0 1 152 0 0 4 478
PERRONBREAKS: RATS procedure to compute various unit root tests with breaks 0 0 3 55 0 0 3 174
PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests 0 0 0 74 0 0 0 275
PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date 0 0 1 118 1 3 16 418
PERSIST: RATS procedure to compute sum of coefficients of a MA representation for a series 0 0 0 20 0 0 0 105
PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions 0 0 0 9 0 0 0 78
PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test 0 0 3 278 3 9 27 1,131
PRINFACTORS: RATS procedure to perform principal components-based factor analysis 0 0 2 125 0 0 4 271
PRJCONDITIONAL: RATS procedure to compute predicted probabilities for conditional logit model 0 0 0 32 0 0 0 103
PRJMULTINOMIAL: RATS procedure to compute predicted probabilities for multinomial logit model 0 0 0 43 0 1 5 139
QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion 0 0 0 11 0 0 0 101
RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals 0 0 0 1 0 0 0 16
RATS program to calculate optimal portfolios 0 0 1 58 0 0 3 138
RATS program to demonstate robust estimation techniques in a linear model 0 0 0 7 0 1 1 61
RATS program to demonstrate Arellano-Bond estimator for dynamic panel model 2 2 4 99 3 6 15 287
RATS program to demonstrate Bayesian VAR estimation 0 2 7 463 0 3 11 837
RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation 0 0 1 7 0 2 4 78
RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR 0 1 1 160 0 2 6 346
RATS program to demonstrate Gibbs sampling with GARCH model 0 0 0 11 0 0 2 58
RATS program to demonstrate Gibbs sampling with a linear regression 0 0 1 10 0 1 3 55
RATS program to demonstrate Hannan efficient estimation 0 0 1 4 0 0 1 32
RATS program to demonstrate Inclan-Tiao test for breaks in variance 0 0 0 41 0 0 0 114
RATS program to demonstrate Markov Switching ARCH 0 0 0 55 0 0 1 130
RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable 0 0 3 109 0 2 6 261
RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR 0 0 2 67 0 0 2 231
RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR 0 0 0 29 0 0 2 85
RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs 0 0 2 51 0 0 2 102
RATS program to demonstrate Shiller smoothness prior for distributed lag 0 0 0 3 0 0 0 33
RATS program to demonstrate Swamy GLS matrix weighted estimator 0 0 0 7 0 0 1 50
RATS program to demonstrate block causality tests in a VAR 0 0 1 44 0 0 2 132
RATS program to demonstrate bootstrapping applied to Granger causality test 0 0 0 176 0 0 0 363
RATS program to demonstrate bootstrapping spectral density estimates 0 0 0 9 0 0 1 66
RATS program to demonstrate bootstrapping with a GARCH model 0 0 1 24 0 1 3 84
RATS program to demonstrate bootstrapping with a VAR 0 1 1 124 0 1 2 252
RATS program to demonstrate bootstrapping with a VECM 0 2 2 135 1 5 9 328
RATS program to demonstrate bootstrapping with an ARMA model 0 0 0 38 0 0 1 143
RATS program to demonstrate bootstrapping with cointegration 0 0 2 70 0 0 3 202
RATS program to demonstrate calculation of an arranged autoregression 0 0 0 12 0 0 0 54
RATS program to demonstrate conditional forecasting with a VAR 0 0 0 90 0 0 1 230
RATS program to demonstrate contour graph 0 0 0 8 0 0 0 44
RATS program to demonstrate estimation of a stochastic volatility model 0 0 2 83 0 1 7 170
RATS program to demonstrate estimation of an ARMAX model 0 0 0 70 1 1 1 217
RATS program to demonstrate estimation of structural VAR's 0 0 3 295 0 1 6 524
RATS program to demonstrate forecasting using spectral techniques 0 0 1 15 0 0 1 47
RATS program to demonstrate frequency domain deseasonalization 0 0 0 28 0 0 0 86
RATS program to demonstrate importance sampling with GARCH model 0 0 0 27 0 0 0 76
RATS program to demonstrate lag length selection techniques in a VAR 0 1 2 102 0 1 4 262
RATS program to demonstrate multivariate GARCH models 0 0 9 479 0 3 18 901
RATS program to demonstrate multivariate GARCH using 2-stage DCC 0 0 2 330 0 0 4 642
RATS program to demonstrate non-parametric regression 1 1 5 37 1 1 5 91
RATS program to demonstrate quadratic programming 0 0 0 9 0 0 0 46
RATS program to demonstrate time-varying coefficient estimation in a VAR 0 2 16 261 2 5 34 503
RATS program to demonstrate univariate GARCH estimation 0 0 0 64 0 0 2 129
RATS program to demonstrate use of neural networks 0 2 6 71 0 2 10 184
RATS program to demonstrate various stability tests 0 0 0 21 0 0 0 63
RATS program to estimate DSGE model 0 1 8 288 3 7 28 549
RATS program to estimate Hamilton switching model 0 0 0 34 0 0 0 106
RATS program to estimate a linear regression using an adaptive kernel estimator 0 0 0 28 0 1 1 111
RATS program to estimate a model with fractional differencing 0 0 4 72 0 0 5 138
RATS program to estimate observable index model from Sargent-Sims(1977) 0 0 2 38 0 0 4 688
RATS program to estimate probit model with random effects 0 0 0 17 0 0 3 91
RATS program to estimate term structure using non-linear methods 0 1 2 16 0 1 3 42
RATS program to estimate term structure with cubic splines 0 1 1 67 0 1 3 217
RATS program to solve Cass-Koopmans growth model 0 0 1 14 0 0 3 63
RATS program to solve Erceg-Henderson-Levin model 0 0 4 48 0 1 7 248
RATS program to solve Lubik-Schorfheide JME 2007 DSGE model 0 2 6 161 0 4 15 402
RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model 1 1 6 351 2 7 22 933
RATS programs to estimate multivariate stochastic volatility models 0 0 3 213 2 2 7 493
RATS programs to estimate structural VAR-GARCH-M model 0 3 13 694 5 9 34 1,582
RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009 0 0 2 105 0 3 9 339
RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results 2 2 2 176 2 3 6 494
RATS programs to replicate Balke-Fomby threshold cointegration 0 1 6 276 0 2 12 624
RATS programs to replicate Bernanke and Mihov QJE 1998 0 0 3 196 0 0 6 503
RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper 1 5 23 934 3 10 46 2,018
RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions 0 1 6 376 1 2 11 842
RATS programs to replicate Blanchard and Quah AER 1989 3 5 22 475 6 11 47 1,043
RATS programs to replicate Burnside's JBES 1994 paper on asset pricing 0 0 0 19 0 1 4 113
RATS programs to replicate CKLS(1992) estimation of interest rate models 1 1 4 90 1 2 15 288
RATS programs to replicate Campbell and Ammer's JOF 1993 paper 0 0 4 121 1 1 12 337
RATS programs to replicate Den Haan JME(2000) correlation of comovements 0 0 2 55 0 1 5 181
RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control 0 0 2 39 0 0 2 121
RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations 1 3 8 496 2 7 34 1,298
RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model 2 2 3 271 3 6 13 627
RATS programs to replicate Dueker(1997) Markov switching GARCH models 0 0 0 204 0 0 4 515
RATS programs to replicate Dueker(2005) JBES dynamic probit model 0 0 3 177 0 0 7 415
RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration 2 2 2 288 2 3 5 614
RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots 1 1 2 131 1 1 5 355
RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results 0 0 4 63 0 0 7 235
RATS programs to replicate Faust and Leeper JBES 1997 paper 0 0 1 31 0 0 2 172
RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching 0 0 4 228 2 2 11 500
RATS programs to replicate Gali's QJE 1992 results 0 1 7 136 0 4 18 328
RATS programs to replicate Gonzalo and Granger JBES 1995 paper 1 1 4 148 2 3 11 371
RATS programs to replicate Gray's 1996 Regime Switching GARCH paper 0 2 2 230 1 5 11 630
RATS programs to replicate Hansen's GARCH models with time-varying t-densities 0 0 0 79 0 0 4 274
RATS programs to replicate Hansen's example of threshold break in panel data 0 0 5 203 0 2 11 614
RATS programs to replicate Hansen's examples of Andrews-Ploberger test 0 0 0 28 0 1 2 116
RATS programs to replicate Hansen's threshold estimation and testing results 0 0 2 155 0 0 4 443
RATS programs to replicate Hansen/Seo paper on threshold cointegration 0 1 6 259 1 2 19 710
RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model 0 0 4 103 0 0 8 258
RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility 0 0 1 116 0 0 5 411
RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results 2 2 10 118 3 3 13 344
RATS programs to replicate Krolzig MS-VAR's for six country models 0 1 5 438 2 4 12 940
RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts 0 0 1 99 0 0 2 279
RATS programs to replicate Mark-Sul(2003) panel DOLS 0 0 2 114 1 2 10 327
RATS programs to replicate Michael-Nobay-Peel ESTAR models 0 0 3 159 2 2 6 482
RATS programs to replicate Morley-Nelson-Zivot state space decomposition 0 1 1 70 0 1 1 284
RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR 1 2 13 366 1 3 24 768
RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients 0 0 3 147 1 1 5 326
RATS programs to replicate Papell and Prodan one and two break unit root tests 0 0 0 66 0 0 4 215
RATS programs to replicate Pedroni PPP tests on panel data 1 3 9 326 1 4 16 820
RATS programs to replicate Perron-Wada state space model 0 0 1 117 1 1 8 327
RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data 0 0 2 236 3 4 11 537
RATS programs to replicate Quah and Vahey core inflation estimation 0 1 3 81 0 1 5 201
RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses" 0 0 1 139 0 0 3 442
RATS programs to replicate Sinclair(2009) bivariate state-space model 0 0 0 67 0 0 0 191
RATS programs to replicate Terasvirta's 1994 STAR model results 0 1 3 204 0 1 3 424
RATS programs to replicate Tsay's 1998 multivariate threshold results 0 1 4 239 0 4 15 502
RATS programs to replicate Tse's constant correlation GARCH test results 0 0 2 96 0 0 5 321
RATS programs to replicate Uhlig's VAR identification technique 1 6 14 400 2 9 22 852
RATS programs to replicate Willinger, Taqqu, Teverovsky(1999) 0 0 0 26 0 0 2 110
RATS programs to replicate Wright's Alternative Variance Ratio test results 0 0 2 70 0 6 9 290
RATS programs to replicate examples of Bai-Perron procedure 0 0 0 181 1 2 7 638
RATS programs to replicate results from Gregory and Hansen(1996) JOE article 0 0 1 59 1 1 4 246
RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap 0 0 1 81 0 3 10 347
RATS programs to replicates Gali's AEA 1999 VAR results 1 5 14 389 3 8 21 865
REGEXACTDW: RATS procedure to compute the exact significance level for the Durbin-Watson 0 1 1 18 0 1 1 83
REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values 0 0 2 121 2 3 6 572
REGPCSE: RATS procedure to compute panel-corrected standard error calculation 0 0 0 24 1 3 4 99
REGRESET: RATS procedure to perform Ramsey RESET test on regression 1 4 8 225 9 18 56 1,722
REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis 0 0 0 45 1 1 5 245
REGWHITENNTEST: RATS procedure to perform White neural network test on regression 0 0 1 38 0 0 3 189
REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression 1 1 3 77 2 8 12 243
REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression 0 0 1 55 0 0 4 306
RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods 0 0 1 26 2 2 3 131
ROBUSTLMTEST: RATS procedure to perform robust LM test for orthogonality of residuals and input series 0 0 1 43 0 2 5 180
ROLLREG: RATS procedure to compute rolling regressions for least squares 0 0 0 109 0 0 1 264
RRGQTEST: RATS procedure to compute a Goldfeld-Quandt test on recursive residuals 0 0 0 89 0 1 5 389
RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified) 0 0 0 58 0 0 1 296
RUNTEST: RATS procedure to compute a run test for a two-state series 0 0 0 7 0 0 0 37
SHORTANDLONG: RATS procedure to compute factor covariance matrix with short and long run restrictions 0 0 1 78 0 0 2 209
SPECFORE: RATS procedure to compute forecasts using spectral techniques 0 0 1 14 0 0 1 39
SPECTRUM: RATS procedure to compute/graph spectral density 0 0 0 17 0 0 0 57
SSMSPECTRUM: RATS procedure to compute multivariate spectral density of a state space model 0 0 0 9 0 0 0 53
STABTEST: RATS procedure to perform Hansen's stability test for OLS 0 0 1 128 1 1 4 526
STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model 0 0 0 23 0 0 1 80
STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR 0 0 0 199 0 1 5 504
STEPPROBIT: RATS procedure to perform backwards stepwise reduction of a probit model 0 0 0 10 0 0 0 128
STOCKWAT: RATS procedure to perform Stock-Watson and Dickey-Fuller Unit Root Tests 0 0 0 34 0 1 3 195
STRUCTRESIDS: RATS procedure to compute structural residuals from standard residuals 0 0 1 42 0 0 3 160
SURGIBBSSETUP: RATS procedure to set up Gibbs sampler for SUR model 0 0 1 67 0 0 2 135
SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set 0 0 0 50 0 1 2 241
SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS 0 0 0 121 0 2 6 478
SWTRENDS: RATS procedure to test cointegration rank using common trends analysis 0 0 1 51 1 1 6 133
TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect 1 1 1 372 2 4 9 1,057
THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break 0 0 3 170 1 2 9 438
TSAYNLTEST: RATS procedure to perform Tsay test for neglected non-linearities 0 0 0 103 0 1 5 354
TSAYTEST: RATS procedure to perform Tsay arranged regression test for threshold autoregression (TAR) 0 0 1 164 0 0 4 408
TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model 0 0 4 136 0 1 7 434
UFOREERRORS: RATS procedure to compute forecast errors for a univariate model 1 1 3 47 2 2 6 125
UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks 0 1 1 240 1 3 10 486
UNIFORMPARMS: RATS procedure to compute required parameters for uniform distribution 0 0 0 2 0 0 0 46
UNIQUEVALUES: RATS procedure to extract unique values from a series 0 0 1 43 0 0 2 77
Unit Roots, Cointegration, VAR estimation and more 1 6 13 2,726 3 10 23 4,966
VARBOOTSETUP: RATS procedure to set up a parallel system for bootstrapping a VAR 0 0 0 48 0 0 0 135
VARCALC: RATS procedure to perform a direct calculation of a simple OLS VAR 0 0 2 35 1 2 9 173
VARFPE: RATS procedure to compute minimum FPE representation for the equations in a VAR 0 1 1 12 0 1 1 70
VARFROMDLM: RATS procedure to translate a state space representation to its implied VAR 0 0 0 18 0 0 1 75
VARIMAX: RATS procedure to perform factor rotation using varimax criterion 0 0 1 12 1 1 3 100
VARIRF: RATS procedure to organize graphs of Impulse responses for an estimated VAR 0 4 6 196 0 4 8 448
VARIRFDELTA: RATS procedure to compute the covariance matrix of an IRF using the delta method 0 0 0 32 0 0 2 147
VARLAGSELECT: RATS procedure to select lag length for a VAR model 0 0 5 221 3 4 17 567
VARMADLM: RATS procedure to analyze a VARMA using state-space techniques 0 0 0 54 0 0 2 168
VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression 1 1 1 26 1 1 2 96
VRATIO: RATS procedure to implement variance ratio unit root test procedure 0 0 1 61 0 0 2 314
ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test 1 5 18 657 7 17 60 2,085
Total Software Items 60 182 766 41,474 235 627 2,402 121,517


Statistics updated 2023-05-07