CATS in RATS: cointegration analysis of time series: version 1.01
✍ Scribed by David Tufte
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 146 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0883-7252
No coin nor oath required. For personal study only.
✦ Synopsis
The Johansen (1988) maximum likelihood estimator is the most common multivariate method for modeling cointegration. CATS in RATS: Cointegration Analysis of Time Series (hereafter CATS) is the only commercially available supplementary package capable of producing both these estimates as well as a large body of ancillary estimates discussed in Johansen (1995a). 1 Further, unlike most other packages with cointegration routines, it largely constrains the user to follow the general-to-speci®c methodology advocated by Johansen and others.
CATS is an add-on program to RATS: Regression Analysis of Time Series (hereafter RATS). It requires the latter (version 4.20 or later), but is not sensitive to your choice of operating system. Installation of CATS is simple: copy its ®les from the diskette to a directory of your choice.
A comparative review covering six univariate/multivariate features of a beta version of CATS 1.00, the cointegration facilities in Micro®t, and a beta version of PC-FIML 8 is available in Harris (1994). This review delves deeper to touch on additional features of, and extensions to, CATS, problems associated with the program, and ancillary materials on the Internet.
2. OPERATION
RATS is a mid-level econometric package Ð it requires little programming knowledge to perform most common econometric techniques, but has a language capable of being formed into sophisticated estimation routines. CATS is by far the most sophisticated application available in the RATS language (the CATS program code runs to about sixty single-spaced pages). However, the mechanics of the CATS interface are much closer to low-level econometrics packages like PC-GIVE/PC-FIML or E-Views.