Access Statistics for Tom Doan

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Working Paper File Downloads Abstract Views
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Forecasting and Conditional Projection Using Realistic Prior Distributions 3 4 28 1,212 8 15 84 2,767
Total Working Papers 3 4 28 1,212 8 15 84 2,767


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 2 84 2 2 16 334
ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test 1 1 4 133 3 5 21 517
ADTEST: RATS procedure to perform Anderson-Darling test for normality 0 0 1 61 3 4 29 327
AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference 0 0 1 39 1 1 9 238
APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test 2 3 7 142 4 7 24 525
APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood 2 2 2 66 4 4 10 277
ARAUTOLAGS: RATS procedure to compute information criteria for AR models using Yule-Walker or Burg 0 0 0 25 1 1 7 119
ARCHTEST: RATS procedure to test a series for ARCH effects 0 0 3 124 2 2 10 344
ARMADLM: RATS procedure to set up a DLM (state-space model) based upon an ARMA model 1 1 2 43 3 3 7 183
ARMASPECTRUM: RATS procedure to graph the spectral density for an input ARMA model 0 0 0 17 2 2 5 86
BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas 0 0 6 87 3 3 38 402
BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes 1 4 14 560 8 22 77 1,560
BAYESTST: RATS procedure to perform Bayesian Unit Root test 0 0 2 51 1 2 14 207
BDINDTEST: RATS procedure to perform battery of independence tests 0 1 2 30 1 4 17 125
BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d 0 1 1 85 5 9 19 341
BETAPARMS: RATS procedure to compute parameters required for beta distribution 0 0 0 4 1 1 5 55
BICORRTEST: RATS procedure to compute Hinich bi-correlations test for autocorrelation 0 0 1 34 0 0 4 149
BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection 0 1 2 74 0 1 8 308
BJTRANS: RATS procedure to aid in selection of preliminary transformation 0 0 0 15 0 0 2 100
BKFILTER: RATS procedure to implement band pass filter using Baxter-King method 0 1 4 91 5 8 46 479
BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition 0 2 4 137 0 3 12 356
BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects 0 1 4 31 2 5 15 178
BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization 1 1 4 60 2 8 22 296
BRYBOSCHAN: RATS procedure to implement Bry-Boschan business cycle dating 0 3 19 467 0 11 61 1,088
CANCORR: RATS procedure to compute canonical correlations for two sets of series 0 0 0 9 1 1 3 72
CFEAT: RATS procedure to identify turning points and cyclical phases of a series 0 0 0 30 0 0 17 126
CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method 0 0 4 77 1 7 30 356
CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test 0 0 4 133 1 1 14 567
CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series 0 0 6 158 2 4 41 596
CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular 0 0 0 14 0 0 4 91
CONDITION: RATS procedure to implement conditional forecasting 0 0 1 96 0 1 10 218
CORRADO: RATS procedure to perform Corrado non-parametric event test 0 1 10 47 0 4 20 165
CORRINTEGRAL: RATS procedure to compute a correlation integral for a series 1 1 1 14 1 1 2 49
CROSSPEC: RATS procedure to compute and graph phase and coherence 0 0 1 15 1 2 9 81
CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation 0 0 0 13 0 1 3 74
CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests 0 0 2 202 2 4 18 670
CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix 0 0 0 4 0 0 1 64
DENTON: RATS procedure to distribute a series to a higher frequency using proportional Denton method 0 0 1 21 0 1 3 113
DFUNIT: RATS procedure to perform Dickey-Fuller unit root test 3 3 10 336 3 5 28 1,105
DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure 1 1 4 157 3 6 41 553
DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency 0 0 1 36 1 4 6 161
DIVISIA: RATS procedure to compute a Divisia index 0 0 2 29 0 0 3 67
DLMGLS: RATS procedure to perform GLS estimation with state-space model for errors 0 0 0 18 0 1 5 113
DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model 2 2 4 169 2 3 7 573
DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test 1 1 5 195 1 2 27 644
DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control 0 1 1 34 1 4 7 122
DURBINLEVINSON: RATS procedure to compute autoregressive representations using Durbin-Levinson recursion 0 0 0 17 1 1 2 109
EBA: RATS procedure to perform Extreme Bounds Analysis 0 0 3 61 0 1 13 192
EGTEST: RATS procedure to compute Engle-Granger test for Cointegration 3 4 7 218 13 23 65 835
EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals 1 1 3 47 3 5 14 164
ELFCALC: RATS procedure to compute empirical likelihood for a set of moment conditions 0 0 1 13 0 0 5 57
ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect 1 3 18 353 8 33 101 1,148
EQNTOACF: RATS procedure to create an ACF from an ARMA equation 0 0 1 20 0 0 2 73
ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests 1 3 10 169 6 13 57 849
EXACTINVERSE: RATS procedure to compute exact (limit) inverse with "infinite" components 0 0 0 50 1 1 5 110
FLUX: RATS procedure to compute a general Nyblom fluctuations test 0 0 3 32 1 1 8 145
FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares 0 0 0 84 1 3 10 313
FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row 1 2 5 99 1 2 12 240
GAIN: RATS procedure to compute and graph the gain and phase of a pair of series 0 0 0 4 1 1 3 49
GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution 0 0 0 8 0 0 4 50
GARCHFORE: RATS procedure to perform univariate GARCH forecasting 0 1 1 90 0 2 7 215
GAUSSHERMITE: RATS procedure to generate weights and grid points for Gauss-Hermite numerical integration 0 0 0 24 0 0 3 120
GED: RATS module to draw from Generalized Error Distribution 0 0 1 587 1 2 18 2,193
GLSDETREND: RATS procedure to perform local to unity GLS detrending 1 1 5 52 6 11 55 405
GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models) 0 1 1 52 4 7 16 234
GNEWBOLD: RATS procedure to perform Granger-Newbold forecast comparison test 0 0 1 50 0 1 8 247
GPH: RATS procedure to compute Geweke-Porter-Hudak estimate of fractional differencing 0 0 4 143 0 0 10 480
GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks 1 3 13 569 8 22 70 1,730
HADRI: RATS procedure to implement Hadri test for unit roots in panel data 0 2 7 99 4 9 39 476
HALTON: RATS procedure to generate Halton sequences 0 0 0 11 1 1 2 108
HANNARISSANEN: RATS procedure to estimate an ARIMA model using the Hannan-Rissanen algorithm 2 8 24 162 17 56 153 680
HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method 0 0 0 17 0 0 2 76
HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity 0 0 8 98 1 1 12 264
HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns 0 3 5 109 1 5 16 271
HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data 0 1 7 135 2 10 48 577
HURST: RATS procedure to compute a Hurst exponent 1 3 4 94 1 5 12 227
Hurst exponent estimation procedure 0 1 2 2,861 4 5 15 7,609
ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance 4 6 15 275 9 12 41 730
INTERPOL: RATS procedure to interpolate from one frequency to a higher one 0 0 1 32 0 0 6 165
INVGAMMAPARMS: RATS procedure to compute parameters required for inverse gamma distribution 0 0 0 8 0 1 3 60
IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test 1 1 7 180 6 13 70 866
JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis 0 2 8 185 5 8 19 453
KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test 0 1 8 155 1 3 23 620
KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model 0 0 1 19 0 0 3 125
LIML: RATS procedure to perform limited information maximum likelihood estimation 0 1 3 38 0 2 51 263
LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution 0 0 0 25 0 1 8 156
LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution 0 0 0 1 6 6 8 39
LOGSKEWTDENSITY: RATS procedure to compute log density of skew-t distribution 1 1 1 14 1 2 2 98
LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks 3 9 30 314 13 29 115 936
LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias 0 0 15 161 5 13 95 846
LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks 1 2 28 953 9 21 125 2,459
MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm 0 0 0 2 4 4 5 61
MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests 2 3 4 132 3 5 9 317
MANNWHITNEY: RATS procedure to perform Mann-Whitney test for comparison of samples 0 1 3 23 0 3 6 160
MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands 0 0 0 36 2 2 7 126
MCLEODLI: RATS procedure to perform a McLeod-Li test for 2nd order dependence 0 0 1 72 4 10 26 402
MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations 0 0 0 61 1 2 4 148
MCVARDODDRAWS: RATS procedure to perform Monte Carlo draws from a VAR to generate IRF's 0 0 0 73 1 2 7 157
MEANGROUP: RATS procedure to perform mean group estimator for panel data 0 0 1 54 1 5 12 139
MESA: RATS procedure to compute and graph a spectrum using Maximum Entropy Method 0 0 0 16 1 1 5 60
MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests 0 0 1 66 0 2 3 188
MIXVAR: RATS procedure to compute mixed estimation of an equation with a Bayesian prior 0 0 1 23 0 1 11 116
MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands 2 2 6 233 4 4 33 651
MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation 0 1 3 79 0 2 6 164
MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures 0 0 4 96 1 3 13 297
MSSETUP: RATS procedure to perform Markov switching general support procedures 2 4 7 124 2 4 12 230
MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures 0 1 2 118 0 2 5 249
MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures 0 3 23 359 1 6 55 700
MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis 1 2 4 107 2 9 34 426
MVARCHTEST: RATS procedure to perform Multivariate test for ARCH 0 2 5 112 1 3 11 291
MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's 0 1 3 70 1 4 15 237
MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting 4 4 8 184 4 5 13 403
MVIDENT: RATS procedure to create a Tiao-Box cross correlation matrix 0 0 2 38 0 1 13 163
MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test 0 0 1 67 2 9 24 389
MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic 0 4 9 117 3 8 21 343
NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates 0 0 0 79 1 1 5 216
OLSHODRICK: RATS procedure to compute Hodrick standard errors 2 4 15 176 4 13 53 533
PANELDOLS: RATS procedure to perform panel data group mean DOLS 0 0 9 241 4 11 47 707
PANELFM: RATS procedure to perform panel data group mean FMOLS 4 7 20 445 48 105 229 1,449
PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model 0 0 2 148 1 5 20 456
PERRONBREAKS: RATS procedure to compute various unit root tests with breaks 0 0 1 48 0 2 6 164
PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests 0 0 1 72 1 1 5 269
PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date 1 3 8 110 2 10 27 366
PERSIST: RATS procedure to compute sum of coefficients of a MA representation for a series 0 0 0 20 1 1 2 100
PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions 0 0 1 8 4 4 7 74
PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test 0 1 7 270 3 12 50 1,061
PRINFACTORS: RATS procedure to perform principal components-based factor analysis 0 0 3 119 0 1 10 259
PRJCONDITIONAL: RATS procedure to compute predicted probabilities for conditional logit model 0 0 2 28 1 1 8 90
PRJMULTINOMIAL: RATS procedure to compute predicted probabilities for multinomial logit model 0 0 2 42 0 1 6 122
QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion 0 0 1 11 0 0 1 92
RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals 0 0 0 1 0 0 2 16
RATS program to calculate optimal portfolios 0 1 2 53 2 3 5 127
RATS program to demonstate robust estimation techniques in a linear model 0 0 0 6 1 2 3 55
RATS program to demonstrate Arellano-Bond estimator for dynamic panel model 2 2 3 91 4 8 26 244
RATS program to demonstrate Bayesian VAR estimation 0 6 33 441 5 16 72 791
RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation 0 0 0 6 0 0 1 72
RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR 0 1 2 156 1 3 5 331
RATS program to demonstrate Gibbs sampling with GARCH model 0 0 0 11 0 0 3 52
RATS program to demonstrate Gibbs sampling with a linear regression 0 0 0 8 0 0 2 45
RATS program to demonstrate Hannan efficient estimation 0 0 0 3 0 0 1 30
RATS program to demonstrate Inclan-Tiao test for breaks in variance 1 1 1 41 1 1 3 113
RATS program to demonstrate Markov Switching ARCH 1 1 1 54 1 2 5 125
RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable 1 1 3 99 2 3 7 239
RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR 0 0 0 62 0 0 1 225
RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR 0 0 0 28 0 0 4 80
RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs 0 0 1 49 0 2 7 98
RATS program to demonstrate Shiller smoothness prior for distributed lag 0 0 0 3 0 0 1 32
RATS program to demonstrate Swamy GLS matrix weighted estimator 0 0 0 5 0 1 3 40
RATS program to demonstrate block causality tests in a VAR 0 0 1 42 0 0 2 122
RATS program to demonstrate bootstrapping applied to Granger causality test 1 5 9 172 1 6 18 352
RATS program to demonstrate bootstrapping spectral density estimates 0 0 0 7 0 0 1 59
RATS program to demonstrate bootstrapping with a GARCH model 0 0 0 22 0 1 3 75
RATS program to demonstrate bootstrapping with a VAR 0 0 3 121 0 0 7 241
RATS program to demonstrate bootstrapping with a VECM 0 0 3 130 0 0 15 310
RATS program to demonstrate bootstrapping with an ARMA model 0 0 1 36 0 0 1 138
RATS program to demonstrate bootstrapping with cointegration 0 0 0 66 0 0 4 191
RATS program to demonstrate calculation of an arranged autoregression 0 0 0 11 0 0 1 53
RATS program to demonstrate conditional forecasting with a VAR 0 0 2 86 1 3 14 216
RATS program to demonstrate contour graph 0 1 2 7 0 1 6 43
RATS program to demonstrate estimation of a stochastic volatility model 1 1 2 79 2 3 7 154
RATS program to demonstrate estimation of an ARMAX model 0 0 2 69 0 6 17 207
RATS program to demonstrate estimation of structural VAR's 0 1 13 279 1 5 31 494
RATS program to demonstrate forecasting using spectral techniques 0 0 0 13 1 1 2 41
RATS program to demonstrate frequency domain deseasonalization 1 1 1 27 1 1 6 80
RATS program to demonstrate importance sampling with GARCH model 0 0 0 27 0 2 3 74
RATS program to demonstrate lag length selection techniques in a VAR 2 2 5 99 2 3 9 255
RATS program to demonstrate multivariate GARCH models 1 9 25 459 2 11 62 844
RATS program to demonstrate multivariate GARCH using 2-stage DCC 1 3 18 323 4 8 46 622
RATS program to demonstrate non-parametric regression 0 0 0 31 0 0 0 84
RATS program to demonstrate quadratic programming 0 0 0 8 0 1 1 39
RATS program to demonstrate time-varying coefficient estimation in a VAR 3 7 20 230 5 12 36 438
RATS program to demonstrate univariate GARCH estimation 0 0 2 63 0 0 2 122
RATS program to demonstrate use of neural networks 0 0 2 56 3 3 9 154
RATS program to demonstrate various stability tests 0 0 0 19 0 0 0 56
RATS program to estimate DSGE model 1 2 8 265 3 5 17 500
RATS program to estimate Hamilton switching model 0 0 0 33 0 0 3 101
RATS program to estimate a linear regression using an adaptive kernel estimator 0 0 0 27 0 0 3 106
RATS program to estimate a model with fractional differencing 0 1 1 59 0 1 4 122
RATS program to estimate observable index model from Sargent-Sims(1977) 0 0 1 32 28 125 426 670
RATS program to estimate probit model with random effects 0 0 0 13 0 0 6 79
RATS program to estimate term structure using non-linear methods 0 0 1 14 0 0 1 38
RATS program to estimate term structure with cubic splines 0 0 4 61 0 2 14 200
RATS program to solve Cass-Koopmans growth model 0 0 0 11 2 3 4 54
RATS program to solve Erceg-Henderson-Levin model 0 1 2 43 0 4 12 231
RATS program to solve Lubik-Schorfheide JME 2007 DSGE model 1 1 7 148 2 4 22 365
RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model 0 1 7 338 6 11 38 880
RATS programs to estimate multivariate stochastic volatility models 0 0 0 208 2 4 8 478
RATS programs to estimate structural VAR-GARCH-M model 5 6 19 657 10 20 61 1,484
RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009 1 1 9 94 2 3 36 292
RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results 0 1 4 170 2 4 24 470
RATS programs to replicate Balke-Fomby threshold cointegration 0 0 3 264 0 1 15 597
RATS programs to replicate Bernanke and Mihov QJE 1998 0 0 3 187 1 1 11 482
RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper 3 9 34 854 7 24 82 1,865
RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions 0 1 8 354 0 3 32 791
RATS programs to replicate Blanchard and Quah AER 1989 4 10 50 401 9 23 118 887
RATS programs to replicate Burnside's JBES 1994 paper on asset pricing 0 0 1 18 0 1 11 103
RATS programs to replicate CKLS(1992) estimation of interest rate models 2 2 9 80 4 5 23 248
RATS programs to replicate Campbell and Ammer's JOF 1993 paper 1 3 9 100 4 8 26 279
RATS programs to replicate Den Haan JME(2000) correlation of comovements 0 0 2 53 1 1 15 166
RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control 0 1 2 35 1 5 10 114
RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations 1 3 26 458 4 12 99 1,161
RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model 0 1 10 256 1 4 26 589
RATS programs to replicate Dueker(1997) Markov switching GARCH models 0 1 9 197 0 3 17 491
RATS programs to replicate Dueker(2005) JBES dynamic probit model 0 1 10 167 2 6 24 384
RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration 1 3 7 277 3 6 26 587
RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots 0 0 4 123 3 9 24 332
RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results 0 1 1 54 0 2 5 219
RATS programs to replicate Faust and Leeper JBES 1997 paper 0 0 1 29 1 1 11 163
RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching 1 1 7 218 2 8 30 466
RATS programs to replicate Gali's QJE 1992 results 0 0 4 120 0 2 15 295
RATS programs to replicate Gonzalo and Granger JBES 1995 paper 0 1 6 140 0 6 14 340
RATS programs to replicate Gray's 1996 Regime Switching GARCH paper 0 0 4 221 0 2 25 604
RATS programs to replicate Hansen's GARCH models with time-varying t-densities 1 1 2 72 2 4 12 245
RATS programs to replicate Hansen's example of threshold break in panel data 1 1 6 187 3 5 35 569
RATS programs to replicate Hansen's examples of Andrews-Ploberger test 0 0 0 26 0 0 3 109
RATS programs to replicate Hansen's threshold estimation and testing results 0 0 0 151 0 1 11 425
RATS programs to replicate Hansen/Seo paper on threshold cointegration 0 0 4 237 5 8 31 637
RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model 0 0 5 87 3 3 15 230
RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility 0 0 8 114 0 3 20 396
RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results 0 0 5 103 0 1 31 314
RATS programs to replicate Krolzig MS-VAR's for six country models 2 8 30 404 4 13 66 875
RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts 0 0 2 95 0 2 15 266
RATS programs to replicate Mark-Sul(2003) panel DOLS 0 0 1 109 0 3 17 304
RATS programs to replicate Michael-Nobay-Peel ESTAR models 0 0 0 153 1 1 11 458
RATS programs to replicate Morley-Nelson-Zivot state space decomposition 0 0 3 66 1 1 8 275
RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR 0 2 18 333 3 11 48 699
RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients 0 0 3 143 0 0 14 317
RATS programs to replicate Papell and Prodan one and two break unit root tests 1 1 2 66 1 3 9 205
RATS programs to replicate Pedroni PPP tests on panel data 3 5 8 307 3 6 34 769
RATS programs to replicate Perron-Wada state space model 1 1 3 112 2 2 16 300
RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data 0 0 2 230 1 3 13 516
RATS programs to replicate Quah and Vahey core inflation estimation 0 1 1 71 2 5 9 178
RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses" 0 1 3 134 7 10 31 413
RATS programs to replicate Sinclair(2009) bivariate state-space model 0 0 4 66 0 1 11 187
RATS programs to replicate Terasvirta's 1994 STAR model results 0 1 1 193 2 3 10 396
RATS programs to replicate Tsay's 1998 multivariate threshold results 2 3 5 229 4 7 14 474
RATS programs to replicate Tse's constant correlation GARCH test results 0 0 2 89 0 3 11 301
RATS programs to replicate Uhlig's VAR identification technique 1 3 13 369 1 7 35 795
RATS programs to replicate Willinger, Taqqu, Teverovsky(1999) 0 1 1 25 0 1 2 105
RATS programs to replicate Wright's Alternative Variance Ratio test results 0 0 0 66 0 0 7 271
RATS programs to replicate examples of Bai-Perron procedure 0 3 7 177 1 9 45 604
RATS programs to replicate results from Gregory and Hansen(1996) JOE article 2 3 5 55 2 4 17 235
RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap 0 0 5 76 0 0 20 317
RATS programs to replicates Gali's AEA 1999 VAR results 2 8 33 353 6 21 76 794
REGEXACTDW: RATS procedure to compute the exact significance level for the Durbin-Watson 0 0 2 17 0 0 4 81
REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values 0 1 4 118 0 2 40 552
REGPCSE: RATS procedure to compute panel-corrected standard error calculation 0 0 0 24 0 2 3 90
REGRESET: RATS procedure to perform Ramsey RESET test on regression 0 0 6 197 18 39 139 1,529
REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis 0 0 2 43 3 6 23 222
REGWHITENNTEST: RATS procedure to perform White neural network test on regression 0 0 2 36 1 3 12 177
REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression 0 0 2 73 0 0 5 224
REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression 0 0 0 51 0 1 10 290
RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods 0 0 0 25 1 1 1 127
ROBUSTLMTEST: RATS procedure to perform robust LM test for orthogonality of residuals and input series 0 0 2 42 1 3 14 161
ROLLREG: RATS procedure to compute rolling regressions for least squares 1 1 2 106 2 3 14 257
RRGQTEST: RATS procedure to compute a Goldfeld-Quandt test on recursive residuals 0 0 0 88 0 0 9 381
RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified) 0 0 2 54 0 1 25 280
RUNTEST: RATS procedure to compute a run test for a two-state series 0 0 0 7 1 2 2 37
SHORTANDLONG: RATS procedure to compute factor covariance matrix with short and long run restrictions 1 1 3 74 1 1 8 193
SPECFORE: RATS procedure to compute forecasts using spectral techniques 0 0 0 13 0 0 2 36
SPECTRUM: RATS procedure to compute/graph spectral density 0 0 2 17 0 1 7 52
SSMSPECTRUM: RATS procedure to compute multivariate spectral density of a state space model 0 0 0 9 0 0 0 52
STABTEST: RATS procedure to perform Hansen's stability test for OLS 2 2 3 122 6 15 39 500
STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model 0 0 1 23 0 0 5 77
STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR 2 5 6 196 3 6 18 488
STEPPROBIT: RATS procedure to perform backwards stepwise reduction of a probit model 0 0 0 10 0 0 1 121
STOCKWAT: RATS procedure to perform Stock-Watson and Dickey-Fuller Unit Root Tests 0 0 1 34 1 4 12 189
STRUCTRESIDS: RATS procedure to compute structural residuals from standard residuals 0 0 0 36 0 1 18 146
SURGIBBSSETUP: RATS procedure to set up Gibbs sampler for SUR model 0 0 2 63 0 0 3 128
SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set 0 0 3 46 0 0 8 220
SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS 0 0 1 119 0 2 10 453
SWTRENDS: RATS procedure to test cointegration rank using common trends analysis 0 0 3 46 1 1 6 119
TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect 0 1 6 366 2 3 28 1,017
THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break 1 2 7 157 5 8 26 396
TSAYNLTEST: RATS procedure to perform Tsay test for neglected non-linearities 1 1 4 99 2 2 10 327
TSAYTEST: RATS procedure to perform Tsay arranged regression test for threshold autoregression (TAR) 0 0 3 159 1 1 9 389
TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model 0 3 4 123 0 7 23 398
UFOREERRORS: RATS procedure to compute forecast errors for a univariate model 0 1 2 39 0 3 6 112
UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks 2 4 12 232 2 5 23 459
UNIFORMPARMS: RATS procedure to compute required parameters for uniform distribution 0 0 0 2 0 0 2 46
UNIQUEVALUES: RATS procedure to extract unique values from a series 0 0 1 40 0 0 2 72
Unit Roots, Cointegration, VAR estimation and more 1 2 9 2,702 1 2 26 4,910
VARBOOTSETUP: RATS procedure to set up a parallel system for bootstrapping a VAR 0 0 1 48 0 2 6 133
VARCALC: RATS procedure to perform a direct calculation of a simple OLS VAR 0 0 0 33 0 1 7 145
VARFPE: RATS procedure to compute minimum FPE representation for the equations in a VAR 0 0 1 11 0 0 6 69
VARFROMDLM: RATS procedure to translate a state space representation to its implied VAR 0 0 0 17 0 0 1 72
VARIMAX: RATS procedure to perform factor rotation using varimax criterion 0 0 0 11 0 0 4 93
VARIRF: RATS procedure to organize graphs of Impulse responses for an estimated VAR 0 0 6 184 2 4 25 422
VARIRFDELTA: RATS procedure to compute the covariance matrix of an IRF using the delta method 0 0 1 32 2 3 11 133
VARLAGSELECT: RATS procedure to select lag length for a VAR model 0 2 8 205 2 6 22 520
VARMADLM: RATS procedure to analyze a VARMA using state-space techniques 1 1 3 54 1 2 7 163
VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression 0 0 0 24 0 2 6 91
VRATIO: RATS procedure to implement variance ratio unit root test procedure 0 0 0 59 1 1 9 306
ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test 3 7 28 617 12 32 156 1,927
Total Software Items 123 307 1,310 39,213 588 1,503 6,301 113,384


Statistics updated 2021-01-03