Tom Doan

Research output

Working papers

1. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
   • Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report 93, Federal Reserve Bank of Minneapolis.

Software components

1. Tom Doan, 2000. "GED: RATS module to draw from Generalized Error Distribution," Statistical Software Components R031702, Boston College Department of Economics.
2. Tom Doan, "undated". "ROBUSTLMTEST: RATS procedure to perform robust LM test for orthogonality of residuals and input series," Statistical Software Components RTS00187, Boston College Department of Economics.
3. Tom Doan, "undated". "RATS program to demonstrate use of neural networks," Statistical Software Components RTZ00122, Boston College Department of Economics.
4. Tom Doan, "undated". "VARIRF: RATS procedure to organize graphs of Impulse responses for an estimated VAR," Statistical Software Components RTS00225, Boston College Department of Economics.
5. Tom Doan, "undated". "INVGAMMAPARMS: RATS procedure to compute parameters required for inverse gamma distribution," Statistical Software Components RTS00097, Boston College Department of Economics.
6. Tom Doan, "undated". "BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection," Statistical Software Components RTS00019, Boston College Department of Economics.
7. Tom Doan, "undated". "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
   • Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-783, August.
   • Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
8. Tom Doan, "undated". "RATS programs to replicate Terasvirta's 1994 STAR model results," Statistical Software Components RTZ00158, Boston College Department of Economics.
9. Tom Doan, "undated". "RATS programs to replicate Quah and Vahey core inflation estimation," Statistical Software Components RTZ00139, Boston College Department of Economics.
   • Quah, Danny & Vahey, Shaun P, 1995. "Measuring Core Inflation?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-1144, September.
10. Tom Doan, "undated". "RRGQTEST: RATS procedure to compute a Goldfeld-Quandt test on recursive residuals," Statistical Software Components RTS00190, Boston College Department of Economics.
11. Tom Doan, "undated". "RATS programs to replicate Den Haan JME(2000) correlation of comovements," Statistical Software Components RTZ00042, Boston College Department of Economics.
    • den Haan, Wouter J., 2000. "The comovement between output and prices," Journal of Monetary Economics, Elsevier, vol. 46(1), pages 3-30, August.
12. Tom Doan, "undated". "JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis," Statistical Software Components RTS00099, Boston College Department of Economics.
13. Tom Doan, "undated". "RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs," Statistical Software Components RTZ00119, Boston College Department of Economics.
14. Tom Doan, "undated". "AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference," Statistical Software Components RTS00005, Boston College Department of Economics.
    • Donald W. K. Andrews & Patrik Guggenberger, 2003. "A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter," Econometrica, Econometric Society, vol. 71(2), pages 675-712, March.
15. Tom Doan, "undated". "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.
    • Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
16. Tom Doan, "undated". "RATS programs to replicate Burnside's JBES 1994 paper on asset pricing," Statistical Software Components RTZ00027, Boston College Department of Economics.
    • Burnside, Craig, 1994. "Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 57-79, January.
17. Tom Doan, "undated". "RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals," Statistical Software Components RTS00168, Boston College Department of Economics.
18. Tom Doan, "undated". "MESA: RATS procedure to compute and graph a spectrum using Maximum Entropy Method," Statistical Software Components RTS00126, Boston College Department of Economics.
19. Tom Doan, "undated". "BKFILTER: RATS procedure to implement band pass filter using Baxter-King method," Statistical Software Components RTS00026, Boston College Department of Economics.
    • Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
20. Tom Doan, "undated". "GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)," Statistical Software Components RTS00078, Boston College Department of Economics.
    • Víctor Gómez & Agustín Maravall, 1998. "Automatic Modeling Methods for Univariate Series," Working Papers 9808, Banco de España.
21. Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
    • Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
22. Tom Doan, "undated". "RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR," Statistical Software Components RTZ00072, Boston College Department of Economics.
23. Tom Doan, "undated". "KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model," Statistical Software Components RTS00101, Boston College Department of Economics.
24. Tom Doan, "undated". "UNIFORMPARMS: RATS procedure to compute required parameters for uniform distribution," Statistical Software Components RTS00218, Boston College Department of Economics.
25. Tom Doan, "undated". "RATS program to demonstrate Shiller smoothness prior for distributed lag," Statistical Software Components RTZ00144, Boston College Department of Economics.
26. Tom Doan, "undated". "NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates," Statistical Software Components RTS00146, Boston College Department of Economics.
27. Tom Doan, "undated". "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components RTS00061, Boston College Department of Economics.
28. Tom Doan, "undated". "MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands," Statistical Software Components RTS00132, Boston College Department of Economics.
29. Tom Doan, "undated". "RATS programs to replicate Perron-Wada state space model," Statistical Software Components RTZ00133, Boston College Department of Economics.
    • Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
30. Tom Doan, "undated". "RATS program to demonstrate bootstrapping with a VECM," Statistical Software Components RTZ00025, Boston College Department of Economics.
31. Tom Doan, "undated". "RATS program to demonstrate bootstrapping with a VAR," Statistical Software Components RTZ00024, Boston College Department of Economics.
32. Tom Doan, "undated". "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
    • Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
33. Tom Doan, "undated". "CORRINTEGRAL: RATS procedure to compute a correlation integral for a series," Statistical Software Components RTS00040, Boston College Department of Economics.
34. Tom Doan, "undated". "BJTRANS: RATS procedure to aid in selection of preliminary transformation," Statistical Software Components RTS00025, Boston College Department of Economics.
35. Tom Doan, "undated". "ARCHTEST: RATS procedure to test a series for ARCH effects," Statistical Software Components RTS00009, Boston College Department of Economics.
36. Tom Doan, "undated". "RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots," Statistical Software Components RTZ00054, Boston College Department of Economics.
    • Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers Archive 1388, Iowa State University, Department of Economics.
37. Tom Doan, "undated". "DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control," Statistical Software Components RTS00056, Boston College Department of Economics.
    • Dennis, Richard, 2007. "Optimal Policy In Rational Expectations Models: New Solution Algorithms," Macroeconomic Dynamics, Cambridge University Press, vol. 11(1), pages 31-55, February.
38. Tom Doan, "undated". "MIXVAR: RATS procedure to compute mixed estimation of an equation with a Bayesian prior," Statistical Software Components RTS00129, Boston College Department of Economics.
39. Tom Doan, "undated". "RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model," Statistical Software Components RTZ00047, Boston College Department of Economics.
    • Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 309-338.
40. Tom Doan, "undated". "HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns," Statistical Software Components RTS00090, Boston College Department of Economics.
41. Tom Doan, "undated". "RATS programs to replicate results from Gregory and Hansen(1996) JOE article," Statistical Software Components RTZ00081, Boston College Department of Economics.
    • Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
42. Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
    • Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
43. Tom Doan, "undated". "RATS programs to replicate Hansen's example of threshold break in panel data," Statistical Software Components RTZ00088, Boston College Department of Economics.
    • Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
44. Tom Doan, "undated". "ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance," Statistical Software Components RTS00094, Boston College Department of Economics.
45. Tom Doan, "undated". "RATS programs to replicate Wright's Alternative Variance Ratio test results," Statistical Software Components RTZ00168, Boston College Department of Economics.
    • Wright, Jonathan H, 2000. "Alternative Variance-Ratio Tests Using Ranks and Signs," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 1-9, January.
46. Tom Doan, "undated". "RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)," Statistical Software Components RTS00191, Boston College Department of Economics.
    • Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
47. Tom Doan, "undated". "RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009," Statistical Software Components RTZ00002, Boston College Department of Economics.
    • Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009. "Real-Time Measurement of Business Conditions," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 417-427.
48. Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
    • Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
49. Tom Doan, "undated". "FLUX: RATS procedure to compute a general Nyblom fluctuations test," Statistical Software Components RTS00068, Boston College Department of Economics.
50. Tom Doan, "undated". "STEPPROBIT: RATS procedure to perform backwards stepwise reduction of a probit model," Statistical Software Components RTS00202, Boston College Department of Economics.
51. Tom Doan, "undated". "CORRADO: RATS procedure to perform Corrado non-parametric event test," Statistical Software Components RTS00039, Boston College Department of Economics.
52. Tom Doan, "undated". "MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests," Statistical Software Components RTS00127, Boston College Department of Economics.
53. Tom Doan, "undated". "FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row," Statistical Software Components RTS00070, Boston College Department of Economics.
54. Tom Doan, "undated". "RATS programs to replicate Blanchard and Quah AER 1989," Statistical Software Components RTZ00017, Boston College Department of Economics.
    • Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
55. Tom Doan, "undated". "RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients," Statistical Software Components RTZ00128, Boston College Department of Economics.
    • Ozbek, Levent & Ozlale, Umit, 2005. "Employing the extended Kalman filter in measuring the output gap," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1611-1622, September.
56. Tom Doan, "undated". "RATS program to demonstrate various stability tests," Statistical Software Components RTZ00038, Boston College Department of Economics.
57. Tom Doan, "undated". "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
    • Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    • Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
58. Tom Doan, "undated". "PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date," Statistical Software Components RTS00156, Boston College Department of Economics.
    • Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
59. Tom Doan, "undated". "RATS program to demonstrate bootstrapping with cointegration," Statistical Software Components RTZ00021, Boston College Department of Economics.
    • Li, Hongyi & Maddala, G. S., 1997. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 80(2), pages 297-318, October.
60. Tom Doan, "undated". "MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures," Statistical Software Components RTS00136, Boston College Department of Economics.
61. Tom Doan, "undated". "LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks," Statistical Software Components RTS00112, Boston College Department of Economics.
    • Junsoo Lee & Mark C. Strazicich, 2004. "Minimum LM Unit Root Test with One Structural Break," Working Papers 04-17, Department of Economics, Appalachian State University.
62. Tom Doan, "undated". "RATS program to demonstrate importance sampling with GARCH model," Statistical Software Components RTZ00066, Boston College Department of Economics.
63. Tom Doan, "undated". "EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals," Statistical Software Components RTS00062, Boston College Department of Economics.
64. Tom Doan, "undated". "PRINFACTORS: RATS procedure to perform principal components-based factor analysis," Statistical Software Components RTS00161, Boston College Department of Economics.
65. Tom Doan, "undated". "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.
    • Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    • Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
66. Tom Doan, "undated". "ARMADLM: RATS procedure to set up a DLM (state-space model) based upon an ARMA model," Statistical Software Components RTS00010, Boston College Department of Economics.
67. Tom Doan, "undated". "BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d," Statistical Software Components RTS00016, Boston College Department of Economics.
    • William A. Brock & David A. Hsieh & Blake LeBaron, 1992. "Nonlinear Dynamics, Chaos, and Instability - Unix version," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262521725, April.
68. Tom Doan, "undated". "DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency," Statistical Software Components RTS00051, Boston College Department of Economics.
69. Tom Doan, "undated". "TSAYTEST: RATS procedure to perform Tsay arranged regression test for threshold autoregression (TAR)," Statistical Software Components RTS00213, Boston College Department of Economics.
70. Tom Doan, "undated". "DIVISIA: RATS procedure to compute a Divisia index," Statistical Software Components RTS00052, Boston College Department of Economics.
71. Tom Doan, "undated". "RATS program to demonstrate Bayesian VAR estimation," Statistical Software Components RTZ00030, Boston College Department of Economics.
72. Tom Doan, "undated". "SHORTANDLONG: RATS procedure to compute factor covariance matrix with short and long run restrictions," Statistical Software Components RTS00194, Boston College Department of Economics.
73. Tom Doan, "undated". "PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model," Statistical Software Components RTS00152, Boston College Department of Economics.
    • Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
74. Tom Doan, "undated". "RATS program to demonstrate univariate GARCH estimation," Statistical Software Components RTZ00069, Boston College Department of Economics.
75. Tom Doan, "undated". "APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test," Statistical Software Components RTS00006, Boston College Department of Economics.
    • Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
76. Tom Doan, "undated". "RATS program to demonstrate conditional forecasting with a VAR," Statistical Software Components RTZ00037, Boston College Department of Economics.
77. Tom Doan, "undated". "TSAYNLTEST: RATS procedure to perform Tsay test for neglected non-linearities," Statistical Software Components RTS00212, Boston College Department of Economics.
78. Tom Doan, "undated". "HURST: RATS procedure to compute a Hurst exponent," Statistical Software Components RTS00093, Boston College Department of Economics.
79. Tom Doan, "undated". "LOGSKEWTDENSITY: RATS procedure to compute log density of skew-t distribution," Statistical Software Components RTS00109, Boston College Department of Economics.
80. Tom Doan, "undated". "GNEWBOLD: RATS procedure to perform Granger-Newbold forecast comparison test," Statistical Software Components RTS00079, Boston College Department of Economics.
81. Tom Doan, "undated". "RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching," Statistical Software Components RTZ00059, Boston College Department of Economics.
    • Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 299-308, July.
82. Tom Doan, "undated". "VRATIO: RATS procedure to implement variance ratio unit root test procedure," Statistical Software Components RTS00231, Boston College Department of Economics.
    • Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
83. Tom Doan, "undated". "RATS program to demonstrate Arellano-Bond estimator for dynamic panel model," Statistical Software Components RTZ00005, Boston College Department of Economics.
84. Tom Doan, "undated". "RATS program to estimate term structure using non-linear methods," Statistical Software Components RTZ00018, Boston College Department of Economics.
85. Tom Doan, "undated". "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components RTZ00089, Boston College Department of Economics.
    • Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
86. Tom Doan, "undated". "HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity," Statistical Software Components RTS00088, Boston College Department of Economics.
87. Tom Doan, "undated". "RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data," Statistical Software Components RTZ00134, Boston College Department of Economics.
88. Tom Doan, "undated". "MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures," Statistical Software Components RTS00137, Boston College Department of Economics.
89. Tom Doan, "undated". "MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting," Statistical Software Components RTS00141, Boston College Department of Economics.
90. Tom Doan, "undated". "REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis," Statistical Software Components RTS00182, Boston College Department of Economics.
91. Tom Doan, "undated". "EBA: RATS procedure to perform Extreme Bounds Analysis," Statistical Software Components RTS00059, Boston College Department of Economics.
    • Granger, Clive W. J. & Uhlig, Harald F., 1990. "Reasonable extreme-bounds analysis," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 159-170.
92. Tom Doan, "undated". "RATS programs to replicate Gali's QJE 1992 results," Statistical Software Components RTZ00063, Boston College Department of Economics.
93. Tom Doan, "undated". "UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks," Statistical Software Components RTS00217, Boston College Department of Economics.
    • Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
94. Tom Doan, "undated". "RATS program to solve Erceg-Henderson-Levin model," Statistical Software Components RTZ00051, Boston College Department of Economics.
    • Erceg, Christopher J. & Henderson, Dale W. & Levin, Andrew T., 2000. "Optimal monetary policy with staggered wage and price contracts," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 281-313, October.
95. Tom Doan, "undated". "RATS program to demonstate robust estimation techniques in a linear model," Statistical Software Components RTZ00143, Boston College Department of Economics.
96. Tom Doan, "undated". "DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model," Statistical Software Components RTS00054, Boston College Department of Economics.
97. Tom Doan, "undated". "LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution," Statistical Software Components RTS00107, Boston College Department of Economics.
    • Bauwens, Luc & Laurent, Sebastien, 2005. "A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 346-354, July.
98. Tom Doan, "undated". "RATS program to demonstrate forecasting using spectral techniques," Statistical Software Components RTZ00152, Boston College Department of Economics.
99. Tom Doan, "undated". "LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks," Statistical Software Components RTS00110, Boston College Department of Economics.
    • Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
100. Tom Doan, "undated". "RATS programs to replicate Papell and Prodan one and two break unit root tests," Statistical Software Components RTZ00130, Boston College Department of Economics.
     • Papell, David H. & Prodan, Ruxandra, 2006. "Additional Evidence of Long-Run Purchasing Power Parity with Restricted Structural Change," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1329-1349, August.
101. Tom Doan, "undated". "SURGIBBSSETUP: RATS procedure to set up Gibbs sampler for SUR model," Statistical Software Components RTS00205, Boston College Department of Economics.
102. Tom Doan, "undated". "MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic," Statistical Software Components RTS00145, Boston College Department of Economics.
103. Tom Doan, "undated". "RATS programs to replicate Uhlig's VAR identification technique," Statistical Software Components RTZ00163, Boston College Department of Economics.
     • Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
104. Tom Doan, "undated". "RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)," Statistical Software Components RTZ00167, Boston College Department of Economics.
     • Murad S. Taqqu & Vadim Teverovsky & Walter Willinger, 1999. "Stock market prices and long-range dependence," Finance and Stochastics, Springer, vol. 3(1), pages 1-13.
105. Tom Doan, "undated". "GPH: RATS procedure to compute Geweke-Porter-Hudak estimate of fractional differencing," Statistical Software Components RTS00080, Boston College Department of Economics.
106. Tom Doan, "undated". "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
     • Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
107. Tom Doan, "undated". "RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results," Statistical Software Components RTZ00057, Boston College Department of Economics.
     • Silvia Fabiani & Ricardo Mestre, 2004. "A system approach for measuring the euro area NAIRU," Empirical Economics, Springer, vol. 29(2), pages 311-341, May.
108. Tom Doan, "undated". "RATS programs to replicate Sinclair(2009) bivariate state-space model," Statistical Software Components RTZ00151, Boston College Department of Economics.
     • Tara M. Sinclair, 2009. "The Relationships between Permanent and Transitory Movements in U.S. Output and the Unemployment Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 529-542, March.
109. Tom Doan, "undated". "STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model," Statistical Software Components RTS00200, Boston College Department of Economics.
110. Tom Doan, "undated". "DLMGLS: RATS procedure to perform GLS estimation with state-space model for errors," Statistical Software Components RTS00053, Boston College Department of Economics.
111. Tom Doan, "undated". "RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR," Statistical Software Components RTZ00120, Boston College Department of Economics.
112. Tom Doan, "undated". "MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm," Statistical Software Components RTS00113, Boston College Department of Economics.
113. Tom Doan, "undated". "RATS programs to replicate Gonzalo and Granger JBES 1995 paper," Statistical Software Components RTZ00074, Boston College Department of Economics.
     • Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
114. Tom Doan, "undated". "VARIRFDELTA: RATS procedure to compute the covariance matrix of an IRF using the delta method," Statistical Software Components RTS00226, Boston College Department of Economics.
115. Tom Doan, "undated". "RATS program to demonstrate Inclan-Tiao test for breaks in variance," Statistical Software Components RTZ00100, Boston College Department of Economics.
116. Tom Doan, "undated". "RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper," Statistical Software Components RTZ00012, Boston College Department of Economics.
117. Tom Doan, "undated". "RATS programs to replicate Morley-Nelson-Zivot state space decomposition," Statistical Software Components RTZ00115, Boston College Department of Economics.
     • James C. Morley & Charles R. Nelson & Eric Zivot, 2003. "Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 235-243, May.
118. Tom Doan, "undated". "PRJCONDITIONAL: RATS procedure to compute predicted probabilities for conditional logit model," Statistical Software Components RTS00162, Boston College Department of Economics.
119. Tom Doan, "undated". "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
     • Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
120. Tom Doan, "undated". "MSSETUP: RATS procedure to perform Markov switching general support procedures," Statistical Software Components RTS00135, Boston College Department of Economics.
121. Tom Doan, "undated". "RATS program to demonstrate Hannan efficient estimation," Statistical Software Components RTZ00085, Boston College Department of Economics.
122. Tom Doan, "undated". "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.
     • Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
     • Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-560, August.
123. Tom Doan, "undated". "TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model," Statistical Software Components RTS00214, Boston College Department of Economics.
     • Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
124. Tom Doan, "undated". "RATS programs to replicate Bernanke and Mihov QJE 1998," Statistical Software Components RTZ00013, Boston College Department of Economics.
125. Tom Doan, "undated". "ARMASPECTRUM: RATS procedure to graph the spectral density for an input ARMA model," Statistical Software Components RTS00011, Boston College Department of Economics.
126. Tom Doan, "undated". "CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix," Statistical Software Components RTS00046, Boston College Department of Economics.
127. Tom Doan, "undated". "RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results," Statistical Software Components RTZ00107, Boston College Department of Economics.
     • King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-840, September.
128. Tom Doan, "undated". "BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects," Statistical Software Components RTS00029, Boston College Department of Economics.
129. Tom Doan, "undated". "RATS programs to replicate Campbell and Ammer's JOF 1993 paper," Statistical Software Components RTZ00029, Boston College Department of Economics.
     • Campbell, John Y & Ammer, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
130. Tom Doan, "undated". "LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias," Statistical Software Components RTS00111, Boston College Department of Economics.
     • Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
131. Tom Doan, "undated". "RATS program to demonstrate Markov Switching ARCH," Statistical Software Components RTZ00157, Boston College Department of Economics.
132. Tom Doan, "undated". "RATS programs to replicate Krolzig MS-VAR's for six country models," Statistical Software Components RTZ00108, Boston College Department of Economics.
133. Tom Doan, "undated". "RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control," Statistical Software Components RTZ00043, Boston College Department of Economics.
     • Dennis, Richard, 2007. "Optimal Policy In Rational Expectations Models: New Solution Algorithms," Macroeconomic Dynamics, Cambridge University Press, vol. 11(1), pages 31-55, February.
134. Tom Doan, "undated". "PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests," Statistical Software Components RTS00155, Boston College Department of Economics.
135. Tom Doan, "undated". "LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution," Statistical Software Components RTS00108, Boston College Department of Economics.
136. Tom Doan, "undated". "HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data," Statistical Software Components RTS00092, Boston College Department of Economics.
     • Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
137. Tom Doan, "undated". "CFEAT: RATS procedure to identify turning points and cyclical phases of a series," Statistical Software Components RTS00033, Boston College Department of Economics.
138. Tom Doan, "undated". "RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model," Statistical Software Components RTZ00104, Boston College Department of Economics.
     • Ireland, Peter N., 2004. "A method for taking models to the data," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1205-1226, March.
139. Tom Doan, "undated". "VARMADLM: RATS procedure to analyze a VARMA using state-space techniques," Statistical Software Components RTS00229, Boston College Department of Economics.
140. Tom Doan, "undated". "GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution," Statistical Software Components RTS00072, Boston College Department of Economics.
141. Tom Doan, "undated". "RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods," Statistical Software Components RTS00186, Boston College Department of Economics.
142. Tom Doan, "undated". "RATS program to demonstrate multivariate GARCH models," Statistical Software Components RTZ00067, Boston College Department of Economics.
143. Estima, "undated". "Unit Roots, Cointegration, VAR estimation and more," Rats codes proc0194, .
144. Tom Doan, "undated". "RATS program to demonstrate Swamy GLS matrix weighted estimator," Statistical Software Components RTZ00156, Boston College Department of Economics.
145. Tom Doan, "undated". "UFOREERRORS: RATS procedure to compute forecast errors for a univariate model," Statistical Software Components RTS00216, Boston College Department of Economics.
146. Tom Doan, "undated". "RATS programs to replicate Michael-Nobay-Peel ESTAR models," Statistical Software Components RTZ00113, Boston College Department of Economics.
     • Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-879, August.
147. Tom Doan, "undated". "GAIN: RATS procedure to compute and graph the gain and phase of a pair of series," Statistical Software Components RTS00071, Boston College Department of Economics.
148. Tom Doan, "undated". "RATS programs to replicate Dueker(2005) JBES dynamic probit model," Statistical Software Components RTZ00049, Boston College Department of Economics.
     • Michael Dueker, 2005. "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 96-104, January.
149. Tom Doan, "undated". "QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion," Statistical Software Components RTS00166, Boston College Department of Economics.
150. Tom Doan, "undated". "PANELFM: RATS procedure to perform panel data group mean FMOLS," Statistical Software Components RTS00151, Boston College Department of Economics.
     • Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
     • Peter Pedroni, 2001. "Purchasing Power Parity Tests in Cointegrated Panels," Department of Economics Working Papers 2001-01, Department of Economics, Williams College.
151. Tom Doan, "undated". "PRJMULTINOMIAL: RATS procedure to compute predicted probabilities for multinomial logit model," Statistical Software Components RTS00163, Boston College Department of Economics.
152. Tom Doan, "undated". "BETAPARMS: RATS procedure to compute parameters required for beta distribution," Statistical Software Components RTS00017, Boston College Department of Economics.
153. Tom Doan, "undated". "MVARCHTEST: RATS procedure to perform Multivariate test for ARCH," Statistical Software Components RTS00139, Boston College Department of Economics.
154. Tom Doan, "undated". "ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test," Statistical Software Components RTS00236, Boston College Department of Economics.
     • Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-270, July.
155. Tom Doan, "undated". "RUNTEST: RATS procedure to compute a run test for a two-state series," Statistical Software Components RTS00192, Boston College Department of Economics.
156. Tom Doan, "undated". "RATS program to demonstrate multivariate GARCH using 2-stage DCC," Statistical Software Components RTZ00068, Boston College Department of Economics.
157. Tom Doan, "undated". "MVIDENT: RATS procedure to create a Tiao-Box cross correlation matrix," Statistical Software Components RTS00142, Boston College Department of Economics.
158. Tom Doan, "undated". "MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands," Statistical Software Components RTS00118, Boston College Department of Economics.
159. Tom Doan, "undated". "DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test," Statistical Software Components RTS00055, Boston College Department of Economics.
     • Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
160. Tom Doan, "undated". "RATS program to solve Lubik-Schorfheide JME 2007 DSGE model," Statistical Software Components RTZ00111, Boston College Department of Economics.
     • Lubik, Thomas A. & Schorfheide, Frank, 2007. "Do central banks respond to exchange rate movements? A structural investigation," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1069-1087, May.
161. Estima, "undated". "Hurst exponent estimation procedure," Rats codes hurst, .
162. Tom Doan, "undated". "RATS program to demonstrate bootstrapping with a GARCH model," Statistical Software Components RTZ00064, Boston College Department of Economics.
163. Tom Doan, "undated". "CROSSPEC: RATS procedure to compute and graph phase and coherence," Statistical Software Components RTS00042, Boston College Department of Economics.
164. Tom Doan, "undated". "BAYESTST: RATS procedure to perform Bayesian Unit Root test," Statistical Software Components RTS00014, Boston College Department of Economics.
     • Christopher A. Sims, 1988. "Bayesian skepticism on unit root econometrics," Discussion Paper / Institute for Empirical Macroeconomics 3, Federal Reserve Bank of Minneapolis.
165. Tom Doan, "undated". "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.
     • Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
166. Tom Doan, "undated". "BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition," Statistical Software Components RTS00028, Boston College Department of Economics.
     • Newbold, Paul, 1990. "Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series," Journal of Monetary Economics, Elsevier, vol. 26(3), pages 453-457, December.
167. Tom Doan, "undated". "RATS program to estimate a linear regression using an adaptive kernel estimator," Statistical Software Components RTZ00001, Boston College Department of Economics.
168. Tom Doan, "undated". "APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood," Statistical Software Components RTS00007, Boston College Department of Economics.
     • Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
169. Tom Doan, "undated". "RATS program to demonstrate time-varying coefficient estimation in a VAR," Statistical Software Components RTZ00162, Boston College Department of Economics.
170. Tom Doan, "undated". "BRYBOSCHAN: RATS procedure to implement Bry-Boschan business cycle dating," Statistical Software Components RTS00031, Boston College Department of Economics.
171. Tom Doan, "undated". "RATS program to calculate optimal portfolios," Statistical Software Components RTZ00135, Boston College Department of Economics.
172. Tom Doan, "undated". "ELFCALC: RATS procedure to compute empirical likelihood for a set of moment conditions," Statistical Software Components RTS00063, Boston College Department of Economics.
173. Tom Doan, "undated". "RATS program to demonstrate frequency domain deseasonalization," Statistical Software Components RTZ00061, Boston College Department of Economics.
174. Tom Doan, "undated". "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
     • Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
175. Tom Doan, "undated". "HADRI: RATS procedure to implement Hadri test for unit roots in panel data," Statistical Software Components RTS00084, Boston College Department of Economics.
     • Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
176. Tom Doan, "undated". "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.
     • Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
177. Tom Doan, "undated". "LIML: RATS procedure to perform limited information maximum likelihood estimation," Statistical Software Components RTS00103, Boston College Department of Economics.
178. Tom Doan, "undated". "MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures," Statistical Software Components RTS00134, Boston College Department of Economics.
179. Tom Doan, "undated". "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.
     • Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
     • Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
     • Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-476, August.
180. Tom Doan, "undated". "CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test," Statistical Software Components RTS00035, Boston College Department of Economics.
     • Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August.
181. Tom Doan, "undated". "RATS programs to replicate Gray's 1996 Regime Switching GARCH paper," Statistical Software Components RTZ00080, Boston College Department of Economics.
     • Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September.
182. Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
     • Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
183. Tom Doan, "undated". "MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's," Statistical Software Components RTS00140, Boston College Department of Economics.
     • Arino, Miguel A. & Newbold, Paul, 1998. "Computation of the Beveridge-Nelson decomposition for multivariate economic time series," Economics Letters, Elsevier, vol. 61(1), pages 37-42, October.
184. Tom Doan, "undated". "RATS programs to replicate Faust and Leeper JBES 1997 paper," Statistical Software Components RTZ00058, Boston College Department of Economics.
     • Faust, Jon & Leeper, Eric M, 1997. "When Do Long-Run Identifying Restrictions Give Reliable Results?," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 345-353, July.
185. Tom Doan, "undated". "PANELDOLS: RATS procedure to perform panel data group mean DOLS," Statistical Software Components RTS00150, Boston College Department of Economics.
     • Peter Pedroni, 2001. "Purchasing Power Parity Tests in Cointegrated Panels," Department of Economics Working Papers 2001-01, Department of Economics, Williams College.
186. Tom Doan, "undated". "RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations," Statistical Software Components RTZ00044, Boston College Department of Economics.
     • FrancisX. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
187. Tom Doan, "undated". "RATS program to demonstrate block causality tests in a VAR," Statistical Software Components RTZ00165, Boston College Department of Economics.
188. Tom Doan, "undated". "RATS programs to replicate Balke-Fomby threshold cointegration," Statistical Software Components RTZ00010, Boston College Department of Economics.
     • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
189. Tom Doan, "undated". "PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions," Statistical Software Components RTS00158, Boston College Department of Economics.
     • Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-980, July.
190. Tom Doan, "undated". "MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations," Statistical Software Components RTS00121, Boston College Department of Economics.
191. Tom Doan, "undated". "EXACTINVERSE: RATS procedure to compute exact (limit) inverse with "infinite" components," Statistical Software Components RTS00067, Boston College Department of Economics.
192. Tom Doan, "undated". "THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break," Statistical Software Components RTS00210, Boston College Department of Economics.
     • Hansen Bruce E., 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-16, April.
193. Tom Doan, "undated". "SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set," Statistical Software Components RTS00206, Boston College Department of Economics.
     • Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-323, March.
194. Tom Doan, "undated". "REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression," Statistical Software Components RTS00185, Boston College Department of Economics.
     • Wu, De-Min, 1974. "Alternative Tests of Independence between Stochastic Regressors and Disturbances: Finite Sample Results," Econometrica, Econometric Society, vol. 42(3), pages 529-546, May.
195. Tom Doan, "undated". "CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation," Statistical Software Components RTS00044, Boston College Department of Economics.
196. Tom Doan, "undated". "RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts," Statistical Software Components RTZ00109, Boston College Department of Economics.
     • Markku Lanne & Helmut L‹Tkepohl, 2008. "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, September.
197. Tom Doan, "undated". "HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method," Statistical Software Components RTS00087, Boston College Department of Economics.
198. Tom Doan, "undated". "SSMSPECTRUM: RATS procedure to compute multivariate spectral density of a state space model," Statistical Software Components RTS00198, Boston College Department of Economics.
199. Tom Doan, "undated". "MCVARDODDRAWS: RATS procedure to perform Monte Carlo draws from a VAR to generate IRF's," Statistical Software Components RTS00123, Boston College Department of Economics.
200. Tom Doan, "undated". "RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation," Statistical Software Components RTZ00040, Boston College Department of Economics.
201. Tom Doan, "undated". "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
     • Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
202. Tom Doan, "undated". "PERRONBREAKS: RATS procedure to compute various unit root tests with breaks," Statistical Software Components RTS00154, Boston College Department of Economics.
203. Tom Doan, "undated". "SPECFORE: RATS procedure to compute forecasts using spectral techniques," Statistical Software Components RTS00195, Boston College Department of Economics.
204. Tom Doan, "undated". "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.
     • McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
205. Tom Doan, "undated". "RATS program to solve Cass-Koopmans growth model," Statistical Software Components RTZ00031, Boston College Department of Economics.
206. Tom Doan, "undated". "STRUCTRESIDS: RATS procedure to compute structural residuals from standard residuals," Statistical Software Components RTS00204, Boston College Department of Economics.
207. Tom Doan, "undated". "RATS program to demonstrate lag length selection techniques in a VAR," Statistical Software Components RTZ00166, Boston College Department of Economics.
208. Tom Doan, "undated". "RATS program to estimate probit model with random effects," Statistical Software Components RTZ00141, Boston College Department of Economics.
209. Tom Doan, "undated". "CANCORR: RATS procedure to compute canonical correlations for two sets of series," Statistical Software Components RTS00032, Boston College Department of Economics.
210. Tom Doan, "undated". "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
     • Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
211. Tom Doan, "undated". "VARFPE: RATS procedure to compute minimum FPE representation for the equations in a VAR," Statistical Software Components RTS00222, Boston College Department of Economics.
212. Tom Doan, "undated". "BICORRTEST: RATS procedure to compute Hinich bi-correlations test for autocorrelation," Statistical Software Components RTS00018, Boston College Department of Economics.
213. Tom Doan, "undated". "VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression," Statistical Software Components RTS00230, Boston College Department of Economics.
214. Tom Doan, "undated". "SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS," Statistical Software Components RTS00207, Boston College Department of Economics.
     • Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
215. Tom Doan, "undated". "BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas," Statistical Software Components RTS00012, Boston College Department of Economics.
     • Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
216. Tom Doan, "undated". "RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable," Statistical Software Components RTZ00117, Boston College Department of Economics.
217. Tom Doan, "undated". "STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR," Statistical Software Components RTS00201, Boston College Department of Economics.
218. Tom Doan, "undated". "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
     • Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
219. Tom Doan, "undated". "DFUNIT: RATS procedure to perform Dickey-Fuller unit root test," Statistical Software Components RTS00048, Boston College Department of Economics.
220. Tom Doan, "undated". "DENTON: RATS procedure to distribute a series to a higher frequency using proportional Denton method," Statistical Software Components RTS00047, Boston College Department of Economics.
221. Tom Doan, "undated". "RATS programs to estimate multivariate stochastic volatility models," Statistical Software Components RTZ00093, Boston College Department of Economics.
222. Tom Doan, "undated". "RATS program to demonstrate bootstrapping applied to Granger causality test," Statistical Software Components RTZ00075, Boston College Department of Economics.
223. Tom Doan, "undated". "ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test," Statistical Software Components RTS00003, Boston College Department of Economics.
224. Tom Doan, "undated". "RATS programs to estimate structural VAR-GARCH-M model," Statistical Software Components RTZ00052, Boston College Department of Economics.
     • John Elder & Apostolos Serletis, 2010. "Oil Price Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1137-1159, September.
225. Tom Doan, "undated". "RATS program to estimate DSGE model," Statistical Software Components RTZ00028, Boston College Department of Economics.
226. Tom Doan, "undated". "ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect," Statistical Software Components RTS00064, Boston College Department of Economics.
     • Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-176, April.
227. Tom Doan, "undated". "RATS program to demonstrate bootstrapping spectral density estimates," Statistical Software Components RTZ00023, Boston College Department of Economics.
228. Tom Doan, "undated". "GARCHFORE: RATS procedure to perform univariate GARCH forecasting," Statistical Software Components RTS00073, Boston College Department of Economics.
229. Tom Doan, "undated". "OLSHODRICK: RATS procedure to compute Hodrick standard errors," Statistical Software Components RTS00147, Boston College Department of Economics.
     • Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-386.
230. Tom Doan, "undated". "STABTEST: RATS procedure to perform Hansen's stability test for OLS," Statistical Software Components RTS00199, Boston College Department of Economics.
     • Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
231. Tom Doan, "undated". "RATS programs to replicate Mark-Sul(2003) panel DOLS," Statistical Software Components RTZ00112, Boston College Department of Economics.
     • Nelson C. Mark & Donggyu Sul, 2003. "Cointegration Vector Estimation by Panel DOLS and Long‐run Money Demand," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 655-680, December.
232. Tom Doan, "undated". "MCLEODLI: RATS procedure to perform a McLeod-Li test for 2nd order dependence," Statistical Software Components RTS00120, Boston College Department of Economics.
233. Tom Doan, "undated". "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
     • Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
     • Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
     • Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-476, August.
234. Tom Doan, "undated". "RATS program to estimate observable index model from Sargent-Sims(1977)," Statistical Software Components RTZ00126, Boston College Department of Economics.
     • Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis.
235. Tom Doan, "undated". "MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test," Statistical Software Components RTS00143, Boston College Department of Economics.
236. Tom Doan, "undated". "RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions," Statistical Software Components RTZ00016, Boston College Department of Economics.
     • Bjørnland, Hilde C. & Leitemo, Kai, 2009. "Identifying the interdependence between US monetary policy and the stock market," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
237. Tom Doan, "undated". "VARCALC: RATS procedure to perform a direct calculation of a simple OLS VAR," Statistical Software Components RTS00221, Boston College Department of Economics.
238. Tom Doan, "undated". "RATS program to estimate a model with fractional differencing," Statistical Software Components RTZ00060, Boston College Department of Economics.
239. Tom Doan, "undated". "RATS program to demonstrate Gibbs sampling with GARCH model," Statistical Software Components RTZ00065, Boston College Department of Economics.
240. Tom Doan, "undated". "RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility," Statistical Software Components RTZ00105, Boston College Department of Economics.
     • Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-389, October.
241. Tom Doan, "undated". "ABLAGS: RATS procedure to generate Arellano-Bond set of instruments," Statistical Software Components RTS00001, Boston College Department of Economics.
242. Tom Doan, "undated". "RATS program to demonstrate bootstrapping with an ARMA model," Statistical Software Components RTZ00020, Boston College Department of Economics.
243. Tom Doan, "undated". "VARIMAX: RATS procedure to perform factor rotation using varimax criterion," Statistical Software Components RTS00224, Boston College Department of Economics.
244. Tom Doan, "undated". "RATS program to demonstrate non-parametric regression," Statistical Software Components RTZ00125, Boston College Department of Economics.
245. Tom Doan, "undated". "INTERPOL: RATS procedure to interpolate from one frequency to a higher one," Statistical Software Components RTS00096, Boston College Department of Economics.
246. Tom Doan, "undated". "ADTEST: RATS procedure to perform Anderson-Darling test for normality," Statistical Software Components RTS00004, Boston College Department of Economics.
247. Tom Doan, "undated". "RATS program to demonstrate estimation of an ARMAX model," Statistical Software Components RTZ00007, Boston College Department of Economics.
248. Tom Doan, "undated". "REGPCSE: RATS procedure to compute panel-corrected standard error calculation," Statistical Software Components RTS00179, Boston College Department of Economics.
249. Tom Doan, "undated". "MEANGROUP: RATS procedure to perform mean group estimator for panel data," Statistical Software Components RTS00124, Boston College Department of Economics.
250. Tom Doan, "undated". "RATS program to demonstrate Gibbs sampling with a linear regression," Statistical Software Components RTZ00071, Boston College Department of Economics.
251. Tom Doan, "undated". "RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration," Statistical Software Components RTZ00053, Boston College Department of Economics.
     • Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-176, April.
252. Tom Doan, "undated". "HALTON: RATS procedure to generate Halton sequences," Statistical Software Components RTS00085, Boston College Department of Economics.
253. Tom Doan, "undated". "CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests," Statistical Software Components RTS00045, Boston College Department of Economics.
     • Achim Zeileis, 2004. "Alternative boundaries for CUSUM tests," Statistical Papers, Springer, vol. 45(1), pages 123-131, January.
     • Edgerton, David & Wells, Curt, 1994. "Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(3), pages 355-365, August.
254. Tom Doan, "undated". "BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization," Statistical Software Components RTS00030, Boston College Department of Economics.
     • Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
255. Tom Doan, "undated". "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
     • Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
     • Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
256. Tom Doan, "undated". "ARAUTOLAGS: RATS procedure to compute information criteria for AR models using Yule-Walker or Burg," Statistical Software Components RTS00008, Boston College Department of Economics.
257. Tom Doan, "undated". "RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"," Statistical Software Components RTZ00145, Boston College Department of Economics.
     • Christopher A. Sims & Tao Zha, 1999. "Error Bands for Impulse Responses," Econometrica, Econometric Society, vol. 67(5), pages 1113-1156, September.
258. Tom Doan, "undated". "BDINDTEST: RATS procedure to perform battery of independence tests," Statistical Software Components RTS00015, Boston College Department of Economics.
259. Tom Doan, "undated". "REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression," Statistical Software Components RTS00184, Boston College Department of Economics.
260. Tom Doan, "undated". "CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular," Statistical Software Components RTS00037, Boston College Department of Economics.
261. Tom Doan, "undated". "MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation," Statistical Software Components RTS00133, Boston College Department of Economics.
262. Tom Doan, "undated". "STOCKWAT: RATS procedure to perform Stock-Watson and Dickey-Fuller Unit Root Tests," Statistical Software Components RTS00203, Boston College Department of Economics.
263. Tom Doan, "undated". "RATS programs to replicate Pedroni PPP tests on panel data," Statistical Software Components RTZ00132, Boston College Department of Economics.
     • Peter Pedroni, 2001. "Purchasing Power Parity Tests In Cointegrated Panels," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 727-731, November.
264. Tom Doan, "undated". "RATS programs to replicate Tsay's 1998 multivariate threshold results," Statistical Software Components RTZ00160, Boston College Department of Economics.
265. Tom Doan, "undated". "RATS programs to replicates Gali's AEA 1999 VAR results," Statistical Software Components RTZ00062, Boston College Department of Economics.
     • Jordi Gali, 1999. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," American Economic Review, American Economic Association, vol. 89(1), pages 249-271, March.
266. Tom Doan, "undated". "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
     • Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
267. Tom Doan, "undated". "VARBOOTSETUP: RATS procedure to set up a parallel system for bootstrapping a VAR," Statistical Software Components RTS00220, Boston College Department of Economics.
268. Tom Doan, "undated". "RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR," Statistical Software Components RTZ00121, Boston College Department of Economics.
     • Andrew Mountford & Harald Uhlig, 2009. "What are the effects of fiscal policy shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 960-992.
269. Tom Doan, "undated". "CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method," Statistical Software Components RTS00034, Boston College Department of Economics.
     • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
270. Tom Doan, "undated". "EQNTOACF: RATS procedure to create an ACF from an ARMA equation," Statistical Software Components RTS00065, Boston College Department of Economics.
271. Tom Doan, "undated". "HANNARISSANEN: RATS procedure to estimate an ARIMA model using the Hannan-Rissanen algorithm," Statistical Software Components RTS00086, Boston College Department of Economics.
272. Tom Doan, "undated". "RATS program to demonstrate calculation of an arranged autoregression," Statistical Software Components RTZ00142, Boston College Department of Economics.
273. Tom Doan, "undated". "UNIQUEVALUES: RATS procedure to extract unique values from a series," Statistical Software Components RTS00219, Boston College Department of Economics.
274. Tom Doan, "undated". "MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests," Statistical Software Components RTS00114, Boston College Department of Economics.
275. Tom Doan, "undated". "RATS programs to replicate Hansen's examples of Andrews-Ploberger test," Statistical Software Components RTZ00087, Boston College Department of Economics.
     • Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
276. Tom Doan, "undated". "RATS program to demonstrate contour graph," Statistical Software Components RTZ00070, Boston College Department of Economics.
277. Tom Doan, "undated". "RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR," Statistical Software Components RTZ00118, Boston College Department of Economics.
278. Tom Doan, "undated". "ROLLREG: RATS procedure to compute rolling regressions for least squares," Statistical Software Components RTS00188, Boston College Department of Economics.
279. Tom Doan, "undated". "VARFROMDLM: RATS procedure to translate a state space representation to its implied VAR," Statistical Software Components RTS00223, Boston College Department of Economics.
280. Tom Doan, "undated". "REGEXACTDW: RATS procedure to compute the exact significance level for the Durbin-Watson," Statistical Software Components RTS00175, Boston College Department of Economics.
281. Tom Doan, "undated". "RATS programs to replicate Dueker(1997) Markov switching GARCH models," Statistical Software Components RTZ00048, Boston College Department of Economics.
     • Dueker, Michael J, 1997. "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 26-34, January.
282. Tom Doan, "undated". "DURBINLEVINSON: RATS procedure to compute autoregressive representations using Durbin-Levinson recursion," Statistical Software Components RTS00058, Boston College Department of Economics.
283. Tom Doan, "undated". "PERSIST: RATS procedure to compute sum of coefficients of a MA representation for a series," Statistical Software Components RTS00157, Boston College Department of Economics.
284. Tom Doan, "undated". "GAUSSHERMITE: RATS procedure to generate weights and grid points for Gauss-Hermite numerical integration," Statistical Software Components RTS00074, Boston College Department of Economics.
285. Tom Doan, "undated". "RATS program to demonstrate estimation of structural VAR's," Statistical Software Components RTZ00041, Boston College Department of Economics.
286. Tom Doan, "undated". "RATS program to estimate Hamilton switching model," Statistical Software Components RTZ00084, Boston College Department of Economics.
287. Tom Doan, "undated". "RATS program to demonstrate quadratic programming," Statistical Software Components RTZ00137, Boston College Department of Economics.
288. Tom Doan, "undated". "VARLAGSELECT: RATS procedure to select lag length for a VAR model," Statistical Software Components RTS00228, Boston College Department of Economics.
289. Tom Doan, "undated". "CONDITION: RATS procedure to implement conditional forecasting," Statistical Software Components RTS00038, Boston College Department of Economics.
290. Tom Doan, "undated". "SPECTRUM: RATS procedure to compute/graph spectral density," Statistical Software Components RTS00196, Boston College Department of Economics.
291. Tom Doan, "undated". "MANNWHITNEY: RATS procedure to perform Mann-Whitney test for comparison of samples," Statistical Software Components RTS00115, Boston College Department of Economics.
292. Tom Doan, "undated". "RATS program to demonstrate estimation of a stochastic volatility model," Statistical Software Components RTZ00155, Boston College Department of Economics.
293. Tom Doan, "undated". "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
     • Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
294. Tom Doan, "undated". "SWTRENDS: RATS procedure to test cointegration rank using common trends analysis," Statistical Software Components RTS00208, Boston College Department of Economics.