Access Statistics for Tom Doan

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Forecasting and Conditional Projection Using Realistic Prior Distributions 1 3 7 1,284 2 5 28 3,002
Total Working Papers 1 3 7 1,284 2 5 28 3,002


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 0 89 0 0 5 367
ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test 0 1 7 153 0 1 13 576
ADTEST: RATS procedure to perform Anderson-Darling test for normality 0 0 1 68 0 1 4 379
AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference 0 0 0 42 0 0 3 254
APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test 0 0 1 150 0 0 9 581
APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood 0 0 0 68 0 0 2 294
ARAUTOLAGS: RATS procedure to compute information criteria for AR models using Yule-Walker or Burg 0 0 0 30 0 0 1 134
ARCHTEST: RATS procedure to test a series for ARCH effects 0 0 1 134 0 0 2 362
ARMADLM: RATS procedure to set up a DLM (state-space model) based upon an ARMA model 0 0 1 45 0 0 2 197
ARMASPECTRUM: RATS procedure to graph the spectral density for an input ARMA model 0 0 0 19 0 0 2 96
BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas 0 0 1 88 1 1 4 429
BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes 0 1 8 604 0 2 20 1,727
BAYESTST: RATS procedure to perform Bayesian Unit Root test 0 0 0 54 0 0 3 220
BDINDTEST: RATS procedure to perform battery of independence tests 0 0 2 34 0 0 4 138
BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d 0 0 0 91 0 1 3 498
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 36 0 0 2 165
BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection 0 0 0 83 0 1 3 338
BJTRANS: RATS procedure to aid in selection of preliminary transformation 0 0 0 16 0 1 1 111
BKFILTER: RATS procedure to implement band pass filter using Baxter-King method 0 0 2 113 0 0 16 572
BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition 0 0 2 162 0 0 3 404
BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects 0 0 0 31 0 2 2 219
BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization 0 0 2 69 1 2 5 322
BRYBOSCHAN: RATS procedure to implement Bry-Boschan business cycle dating 0 1 8 506 0 3 21 1,177
CANCORR: RATS procedure to compute canonical correlations for two sets of series 0 0 0 11 0 0 0 79
CFEAT: RATS procedure to identify turning points and cyclical phases of a series 0 0 0 32 0 0 0 131
CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method 0 0 5 98 2 3 12 414
CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test 0 1 2 143 1 2 4 617
CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series 0 0 3 170 0 0 10 654
CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular 0 0 0 15 0 0 1 98
CONDITION: RATS procedure to implement conditional forecasting 0 2 3 101 0 2 6 240
CORRADO: RATS procedure to perform Corrado non-parametric event test 0 0 1 55 0 0 3 187
CORRINTEGRAL: RATS procedure to compute a correlation integral for a series 0 0 0 14 0 1 2 52
CROSSPEC: RATS procedure to compute and graph phase and coherence 0 0 1 17 0 0 1 88
CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation 0 0 0 13 0 0 2 78
CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests 0 1 4 215 1 4 11 734
CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix 0 0 0 5 0 1 2 70
DENTON: RATS procedure to distribute a series to a higher frequency using proportional Denton method 0 0 0 24 0 0 0 120
DFUNIT: RATS procedure to perform Dickey-Fuller unit root test 0 1 3 362 0 1 7 1,191
DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure 0 0 3 180 0 3 16 630
DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency 0 0 1 39 0 0 2 166
DIVISIA: RATS procedure to compute a Divisia index 0 0 1 37 0 0 1 80
DLMGLS: RATS procedure to perform GLS estimation with state-space model for errors 0 0 0 19 0 0 6 130
DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model 0 0 1 176 1 2 5 595
DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test 0 0 4 234 0 1 15 782
DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control 0 0 0 38 0 0 1 138
DURBINLEVINSON: RATS procedure to compute autoregressive representations using Durbin-Levinson recursion 0 0 0 17 0 0 3 120
EBA: RATS procedure to perform Extreme Bounds Analysis 0 0 0 64 0 0 0 210
EGTEST: RATS procedure to compute Engle-Granger test for Cointegration 1 2 4 237 1 2 7 934
EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals 0 0 1 56 0 0 2 187
ELFCALC: RATS procedure to compute empirical likelihood for a set of moment conditions 0 0 0 15 1 1 1 65
ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect 0 4 5 378 1 8 16 1,281
EQNTOACF: RATS procedure to create an ACF from an ARMA equation 0 0 1 23 0 0 3 82
ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests 0 0 1 178 0 0 9 915
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 0 0 41 0 1 2 168
FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares 0 0 0 87 0 0 2 329
FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row 0 0 3 110 0 0 5 265
GAIN: RATS procedure to compute and graph the gain and phase of a pair of series 0 0 0 5 0 0 1 54
GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution 0 0 0 9 0 0 0 52
GARCHFORE: RATS procedure to perform univariate GARCH forecasting 0 0 1 94 0 2 3 227
GAUSSHERMITE: RATS procedure to generate weights and grid points for Gauss-Hermite numerical integration 0 0 0 25 1 1 1 126
GED: RATS module to draw from Generalized Error Distribution 0 0 4 594 0 0 5 2,218
GLSDETREND: RATS procedure to perform local to unity GLS detrending 0 0 2 55 1 2 10 450
GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models) 0 0 0 59 0 0 4 271
GNEWBOLD: RATS procedure to perform Granger-Newbold forecast comparison test 0 0 1 53 0 0 2 263
GPH: RATS procedure to compute Geweke-Porter-Hudak estimate of fractional differencing 0 0 0 149 0 1 2 503
GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks 0 1 3 604 2 3 9 1,868
HADRI: RATS procedure to implement Hadri test for unit roots in panel data 0 0 1 109 0 0 6 566
HALTON: RATS procedure to generate Halton sequences 0 0 0 12 0 0 2 115
HANNARISSANEN: RATS procedure to estimate an ARIMA model using the Hannan-Rissanen algorithm 0 0 4 212 0 2 27 933
HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method 0 0 1 19 2 2 5 86
HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity 0 0 1 108 0 0 4 292
HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns 0 0 1 120 0 1 5 304
HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data 0 1 6 186 1 9 23 800
HURST: RATS procedure to compute a Hurst exponent 0 0 2 108 0 0 5 267
Hurst exponent estimation procedure 0 0 0 2,875 0 0 2 7,653
ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance 0 0 0 302 0 0 1 820
INTERPOL: RATS procedure to interpolate from one frequency to a higher one 0 1 2 36 0 1 3 183
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 1 3 8 210 3 14 27 999
JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis 0 0 0 199 0 0 3 497
KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test 0 0 0 166 1 3 8 685
KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model 0 0 0 19 0 0 0 131
LIML: RATS procedure to perform limited information maximum likelihood estimation 0 0 0 39 1 2 2 271
LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution 0 0 0 27 0 0 2 175
LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution 0 0 0 3 0 0 2 43
LOGSKEWTDENSITY: RATS procedure to compute log density of skew-t distribution 0 0 0 16 0 0 0 109
LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks 0 0 10 372 0 0 18 1,114
LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias 1 1 5 200 3 6 22 1,139
LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks 1 5 17 1,051 3 12 50 2,732
MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm 0 0 0 3 0 0 0 71
MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests 0 0 1 144 1 1 3 348
MANNWHITNEY: RATS procedure to perform Mann-Whitney test for comparison of samples 0 0 1 28 1 2 6 185
MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands 0 1 2 46 0 1 2 142
MCLEODLI: RATS procedure to perform a McLeod-Li test for 2nd order dependence 0 0 0 78 0 0 11 499
MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations 1 1 2 67 1 1 4 162
MCVARDODDRAWS: RATS procedure to perform Monte Carlo draws from a VAR to generate IRF's 0 1 1 82 0 2 2 182
MEANGROUP: RATS procedure to perform mean group estimator for panel data 0 0 0 55 1 1 4 174
MESA: RATS procedure to compute and graph a spectrum using Maximum Entropy Method 0 1 1 20 0 1 2 67
MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests 0 0 1 67 0 0 3 195
MIXVAR: RATS procedure to compute mixed estimation of an equation with a Bayesian prior 0 0 0 26 0 0 1 132
MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands 0 0 2 265 0 0 3 710
MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation 0 0 0 84 0 0 1 175
MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures 0 1 2 104 0 1 3 331
MSSETUP: RATS procedure to perform Markov switching general support procedures 0 0 0 132 0 0 0 242
MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures 0 0 1 130 0 0 2 264
MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures 0 0 3 405 0 2 11 807
MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis 0 2 2 113 0 3 6 459
MVARCHTEST: RATS procedure to perform Multivariate test for ARCH 0 1 1 126 0 1 1 320
MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's 0 0 0 79 1 2 3 264
MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting 1 1 3 209 1 1 4 456
MVIDENT: RATS procedure to create a Tiao-Box cross correlation matrix 0 0 1 39 0 0 1 168
MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test 1 1 4 78 1 1 10 438
MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic 0 0 0 125 0 0 3 382
NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates 0 1 1 87 0 1 3 233
OLSHODRICK: RATS procedure to compute Hodrick standard errors 0 0 1 205 0 1 11 643
PANELDOLS: RATS procedure to perform panel data group mean DOLS 1 1 4 258 2 2 10 787
PANELFM: RATS procedure to perform panel data group mean FMOLS 1 2 3 489 1 2 13 1,808
PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model 1 2 3 155 1 2 6 484
PERRONBREAKS: RATS procedure to compute various unit root tests with breaks 0 0 2 57 0 0 2 176
PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests 0 0 2 76 0 0 2 277
PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date 1 2 4 124 1 4 10 440
PERSIST: RATS procedure to compute sum of coefficients of a MA representation for a series 0 0 1 21 0 0 1 106
PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions 0 0 0 9 0 0 2 81
PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test 1 2 3 283 1 4 17 1,159
PRINFACTORS: RATS procedure to perform principal components-based factor analysis 0 0 0 127 0 0 1 275
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 1 47 0 0 2 146
QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion 0 0 0 11 1 1 2 105
RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals 0 0 0 1 1 1 1 17
RATS program to calculate optimal portfolios 0 1 3 61 0 1 5 146
RATS program to demonstate robust estimation techniques in a linear model 0 0 0 7 0 0 1 64
RATS program to demonstrate Arellano-Bond estimator for dynamic panel model 0 0 0 102 0 0 3 305
RATS program to demonstrate Bayesian VAR estimation 1 1 4 490 1 1 5 872
RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation 0 0 0 7 0 0 0 79
RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR 1 1 1 166 2 2 2 354
RATS program to demonstrate Gibbs sampling with GARCH model 0 0 0 11 0 0 0 58
RATS program to demonstrate Gibbs sampling with a linear regression 0 0 3 15 0 0 4 62
RATS program to demonstrate Hannan efficient estimation 0 0 0 4 0 0 0 32
RATS program to demonstrate Inclan-Tiao test for breaks in variance 0 0 0 42 0 0 1 117
RATS program to demonstrate Markov Switching ARCH 0 0 1 57 0 0 1 132
RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable 0 0 0 109 0 0 0 261
RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR 0 0 0 72 0 0 0 241
RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR 0 0 0 29 0 0 0 85
RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs 0 0 1 53 0 0 1 104
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 53
RATS program to demonstrate block causality tests in a VAR 0 0 2 48 0 0 4 139
RATS program to demonstrate bootstrapping applied to Granger causality test 0 0 0 177 0 1 2 366
RATS program to demonstrate bootstrapping spectral density estimates 0 0 1 11 0 0 1 68
RATS program to demonstrate bootstrapping with a GARCH model 0 0 0 24 0 0 0 84
RATS program to demonstrate bootstrapping with a VAR 0 0 2 128 0 0 2 260
RATS program to demonstrate bootstrapping with a VECM 0 1 3 142 0 1 5 346
RATS program to demonstrate bootstrapping with an ARMA model 0 0 1 40 0 1 3 148
RATS program to demonstrate bootstrapping with cointegration 0 0 0 70 0 0 5 209
RATS program to demonstrate calculation of an arranged autoregression 0 0 0 12 0 0 0 55
RATS program to demonstrate conditional forecasting with a VAR 0 0 1 91 0 0 1 234
RATS program to demonstrate contour graph 0 0 0 8 0 0 1 45
RATS program to demonstrate estimation of a stochastic volatility model 0 0 2 87 1 2 4 177
RATS program to demonstrate estimation of an ARMAX model 0 0 0 70 0 0 0 220
RATS program to demonstrate estimation of structural VAR's 0 0 3 301 0 0 3 534
RATS program to demonstrate forecasting using spectral techniques 0 0 2 17 0 0 2 50
RATS program to demonstrate frequency domain deseasonalization 0 0 1 29 0 0 2 91
RATS program to demonstrate importance sampling with GARCH model 1 1 2 29 1 1 4 80
RATS program to demonstrate lag length selection techniques in a VAR 0 0 0 104 0 0 3 271
RATS program to demonstrate multivariate GARCH models 1 2 6 496 1 2 6 921
RATS program to demonstrate multivariate GARCH using 2-stage DCC 1 1 3 333 1 1 5 647
RATS program to demonstrate non-parametric regression 0 0 1 41 0 0 2 96
RATS program to demonstrate quadratic programming 0 1 1 11 0 1 1 49
RATS program to demonstrate time-varying coefficient estimation in a VAR 0 0 0 271 1 2 9 531
RATS program to demonstrate univariate GARCH estimation 0 0 3 67 0 1 6 135
RATS program to demonstrate use of neural networks 0 0 3 76 0 0 3 191
RATS program to demonstrate various stability tests 0 0 0 21 0 0 0 63
RATS program to estimate DSGE model 0 0 1 293 2 2 6 570
RATS program to estimate Hamilton switching model 0 0 2 37 0 1 4 113
RATS program to estimate a linear regression using an adaptive kernel estimator 0 0 0 28 0 0 2 115
RATS program to estimate a model with fractional differencing 0 0 1 75 1 1 4 145
RATS program to estimate observable index model from Sargent-Sims(1977) 0 1 2 43 0 4 8 702
RATS program to estimate probit model with random effects 0 0 1 18 0 0 4 99
RATS program to estimate term structure using non-linear methods 0 0 1 17 0 0 1 45
RATS program to estimate term structure with cubic splines 0 0 0 67 0 0 4 229
RATS program to solve Cass-Koopmans growth model 0 0 0 15 0 0 1 66
RATS program to solve Erceg-Henderson-Levin model 0 0 2 50 0 0 2 255
RATS program to solve Lubik-Schorfheide JME 2007 DSGE model 0 0 1 169 1 1 4 418
RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model 0 1 1 356 1 3 7 954
RATS programs to estimate multivariate stochastic volatility models 0 0 0 216 0 0 4 508
RATS programs to estimate structural VAR-GARCH-M model 0 1 2 703 0 2 7 1,601
RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009 0 0 4 112 0 0 8 358
RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results 0 0 0 180 0 1 2 503
RATS programs to replicate Balke-Fomby threshold cointegration 0 0 2 280 0 0 5 639
RATS programs to replicate Bernanke and Mihov QJE 1998 2 4 11 215 3 5 33 547
RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper 0 1 6 948 0 3 18 2,060
RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions 1 1 3 386 1 2 8 863
RATS programs to replicate Blanchard and Quah AER 1989 0 1 11 516 1 6 28 1,142
RATS programs to replicate Burnside's JBES 1994 paper on asset pricing 0 0 0 20 1 1 2 119
RATS programs to replicate CKLS(1992) estimation of interest rate models 0 0 0 95 0 0 1 301
RATS programs to replicate Campbell and Ammer's JOF 1993 paper 0 0 3 128 0 0 4 354
RATS programs to replicate Den Haan JME(2000) correlation of comovements 0 0 1 58 0 1 2 187
RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control 0 0 0 44 0 1 1 133
RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations 0 1 7 513 0 4 21 1,344
RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model 0 1 5 288 2 3 10 656
RATS programs to replicate Dueker(1997) Markov switching GARCH models 0 0 0 207 0 1 1 522
RATS programs to replicate Dueker(2005) JBES dynamic probit model 0 0 3 187 0 0 7 438
RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration 1 4 6 298 1 4 7 628
RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots 0 2 4 136 0 2 6 363
RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results 0 0 0 65 0 0 0 239
RATS programs to replicate Faust and Leeper JBES 1997 paper 0 0 0 32 0 0 0 175
RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching 0 0 3 232 1 1 8 512
RATS programs to replicate Gali's QJE 1992 results 0 0 1 143 0 2 7 353
RATS programs to replicate Gonzalo and Granger JBES 1995 paper 0 0 0 151 0 2 4 382
RATS programs to replicate Gray's 1996 Regime Switching GARCH paper 0 0 0 234 0 0 6 643
RATS programs to replicate Hansen's GARCH models with time-varying t-densities 0 0 0 80 0 0 3 282
RATS programs to replicate Hansen's example of threshold break in panel data 0 0 0 206 1 2 5 629
RATS programs to replicate Hansen's examples of Andrews-Ploberger test 0 0 0 29 0 1 1 121
RATS programs to replicate Hansen's threshold estimation and testing results 0 0 0 156 1 1 3 454
RATS programs to replicate Hansen/Seo paper on threshold cointegration 0 0 5 271 0 2 12 738
RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model 2 2 3 108 2 4 5 273
RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility 0 0 1 119 0 2 9 429
RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results 0 1 1 129 0 1 3 368
RATS programs to replicate Krolzig MS-VAR's for six country models 0 0 0 440 0 1 1 947
RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts 0 1 1 102 0 2 6 290
RATS programs to replicate Mark-Sul(2003) panel DOLS 0 0 2 117 0 0 2 335
RATS programs to replicate Michael-Nobay-Peel ESTAR models 0 0 1 160 0 0 1 484
RATS programs to replicate Morley-Nelson-Zivot state space decomposition 0 0 0 70 0 0 0 288
RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR 1 3 12 385 1 4 13 795
RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients 0 0 1 148 0 0 5 332
RATS programs to replicate Papell and Prodan one and two break unit root tests 0 0 0 67 0 0 0 218
RATS programs to replicate Pedroni PPP tests on panel data 0 1 4 334 0 3 9 840
RATS programs to replicate Perron-Wada state space model 0 0 0 122 1 1 4 338
RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data 1 1 1 239 1 2 4 544
RATS programs to replicate Quah and Vahey core inflation estimation 0 0 1 84 0 0 2 215
RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses" 0 0 2 144 0 0 7 454
RATS programs to replicate Sinclair(2009) bivariate state-space model 0 0 1 68 0 0 4 197
RATS programs to replicate Terasvirta's 1994 STAR model results 0 0 2 206 1 1 3 428
RATS programs to replicate Tsay's 1998 multivariate threshold results 0 0 1 243 0 0 1 509
RATS programs to replicate Tse's constant correlation GARCH test results 1 1 2 100 2 2 5 332
RATS programs to replicate Uhlig's VAR identification technique 1 1 5 416 4 4 13 890
RATS programs to replicate Willinger, Taqqu, Teverovsky(1999) 0 0 1 27 0 0 2 112
RATS programs to replicate Wright's Alternative Variance Ratio test results 1 1 5 78 1 2 7 306
RATS programs to replicate examples of Bai-Perron procedure 0 1 1 182 1 2 2 646
RATS programs to replicate results from Gregory and Hansen(1996) JOE article 0 0 0 62 0 0 2 252
RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap 0 0 1 82 0 1 3 354
RATS programs to replicates Gali's AEA 1999 VAR results 3 5 21 428 7 9 36 942
REGEXACTDW: RATS procedure to compute the exact significance level for the Durbin-Watson 0 0 0 18 0 0 1 84
REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values 0 0 0 121 0 0 5 583
REGPCSE: RATS procedure to compute panel-corrected standard error calculation 0 0 0 24 0 2 3 103
REGRESET: RATS procedure to perform Ramsey RESET test on regression 0 1 4 239 0 1 18 1,783
REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis 0 0 0 47 0 0 2 257
REGWHITENNTEST: RATS procedure to perform White neural network test on regression 0 0 1 39 0 0 3 192
REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression 0 0 0 79 0 0 2 250
REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression 0 0 0 57 1 1 4 315
RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods 0 0 0 26 0 0 0 132
ROBUSTLMTEST: RATS procedure to perform robust LM test for orthogonality of residuals and input series 0 0 0 43 0 0 2 183
ROLLREG: RATS procedure to compute rolling regressions for least squares 0 0 0 110 0 0 2 267
RRGQTEST: RATS procedure to compute a Goldfeld-Quandt test on recursive residuals 0 0 0 92 0 0 1 394
RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified) 0 0 2 60 2 2 7 306
RUNTEST: RATS procedure to compute a run test for a two-state series 0 0 0 7 0 0 0 38
SHORTANDLONG: RATS procedure to compute factor covariance matrix with short and long run restrictions 0 0 1 80 0 1 2 214
SPECFORE: RATS procedure to compute forecasts using spectral techniques 0 0 0 14 0 0 0 41
SPECTRUM: RATS procedure to compute/graph spectral density 0 0 0 18 0 2 2 61
SSMSPECTRUM: RATS procedure to compute multivariate spectral density of a state space model 0 0 0 9 0 1 2 57
STABTEST: RATS procedure to perform Hansen's stability test for OLS 0 0 1 134 1 1 5 549
STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model 0 0 0 24 0 0 0 81
STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR 0 0 1 201 0 0 3 511
STEPPROBIT: RATS procedure to perform backwards stepwise reduction of a probit model 0 0 0 12 0 0 0 131
STOCKWAT: RATS procedure to perform Stock-Watson and Dickey-Fuller Unit Root Tests 0 0 0 34 0 0 0 199
STRUCTRESIDS: RATS procedure to compute structural residuals from standard residuals 0 0 0 42 0 1 5 166
SURGIBBSSETUP: RATS procedure to set up Gibbs sampler for SUR model 0 0 0 69 0 0 0 137
SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set 0 0 0 52 0 1 1 249
SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS 0 0 1 125 0 1 10 495
SWTRENDS: RATS procedure to test cointegration rank using common trends analysis 0 0 0 51 0 0 2 137
TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect 0 3 6 381 2 6 16 1,083
THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break 1 2 3 174 3 4 8 455
TSAYNLTEST: RATS procedure to perform Tsay test for neglected non-linearities 0 0 1 108 0 1 6 366
TSAYTEST: RATS procedure to perform Tsay arranged regression test for threshold autoregression (TAR) 2 2 2 168 2 5 8 424
TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model 1 1 1 138 1 1 2 443
UFOREERRORS: RATS procedure to compute forecast errors for a univariate model 0 0 0 48 0 0 1 130
UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks 0 0 2 249 0 1 6 508
UNIFORMPARMS: RATS procedure to compute required parameters for uniform distribution 0 0 0 2 0 0 0 47
UNIQUEVALUES: RATS procedure to extract unique values from a series 0 0 3 47 0 1 5 83
Unit Roots, Cointegration, VAR estimation and more 0 0 4 2,739 0 0 11 4,995
VARBOOTSETUP: RATS procedure to set up a parallel system for bootstrapping a VAR 0 1 1 49 0 1 1 136
VARCALC: RATS procedure to perform a direct calculation of a simple OLS VAR 0 0 1 36 0 0 6 183
VARFPE: RATS procedure to compute minimum FPE representation for the equations in a VAR 0 0 0 12 0 0 2 74
VARFROMDLM: RATS procedure to translate a state space representation to its implied VAR 0 0 0 21 0 0 0 88
VARIMAX: RATS procedure to perform factor rotation using varimax criterion 0 0 0 12 0 0 0 102
VARIRF: RATS procedure to organize graphs of Impulse responses for an estimated VAR 0 0 0 198 0 1 3 458
VARIRFDELTA: RATS procedure to compute the covariance matrix of an IRF using the delta method 0 0 0 33 0 0 3 154
VARLAGSELECT: RATS procedure to select lag length for a VAR model 0 1 2 224 0 1 3 577
VARMADLM: RATS procedure to analyze a VARMA using state-space techniques 0 0 0 56 0 0 2 172
VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression 0 0 0 26 0 0 0 96
VRATIO: RATS procedure to implement variance ratio unit root test procedure 0 0 1 65 0 0 2 321
ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test 2 4 9 679 2 5 25 2,170
Total Software Items 37 106 461 42,663 103 304 1,420 125,189


Statistics updated 2025-07-04