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- RTS00184 REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression
by Tom Doan - RTZ00184 RATS program to demonstrate historical decomposition
by Tom Doan - RTS00183 REGWHITENNTEST: RATS procedure to perform White neural network test on regression
by Tom Doan - RTZ00183 RATS program to replicate Hafner-Herwartz volatility impulse response functions
by Tom Doan - RTS00182 REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis
by Tom Doan - RTZ00182 RATS program to demonstrate Gibbs sampling on dynamic probit model
by Tom Doan - RTS00181 REGRESET: RATS procedure to perform Ramsey RESET test on regression
by Tom Doan - RTZ00181 RATS program to demonstrate univariate GARCH with nonparametric density
by Tom Doan - RTZ00180 RATS program to demonstrate Gibbs sampling applied to a DCC GARCH model
by Tom Doan - RTS00179 REGPCSE: RATS procedure to compute panel-corrected standard error calculation
by Tom Doan - RTZ00179 RATS program to demonstrate bootstrapping on a multivariate GARCH model
by Tom Doan - RTZ00178 RATS program to replicate Faust 1998 paper on semi-structural VAR
by Tom Doan - RTZ00177 RATS program to replicate Ehrmann-Ellison-Valla(2003) regime dependent impulse response
by Tom Doan - RTS00176 REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values
by Tom Doan - RTZ00176 RATS program to demonstrate forecasting an E-GARCH model using random simulations
by Tom Doan - RTS00175 REGEXACTDW: RATS procedure to compute the exact significance level for the Durbin-Watson
by Tom Doan - RTZ00175 RATS program to demonstrate bootstrapping with an E-GARCH model
by Tom Doan - RTZ00174 RATS program to estimate various forms of DCC GARCH models
by Tom Doan - RTZ00173 RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models
by Tom Doan - RTZ00172 RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects
by Tom Doan - RTZ00171 RATS program to demonstrate Bai, Lumsdaine, Stock common breaks in VAR
by Tom Doan - RTZ00170 RATS program to demonstrate Gibbs Sampling applied to an ARMA model
by Tom Doan - RTZ00169 RATS program to replicate Arellano-Bond 1991 dynamic panel
by Tom Doan - RTS00168 RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals
by Tom Doan - RTZ00168 RATS programs to replicate Wright's Alternative Variance Ratio test results
by Tom Doan - RTZ00167 RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)
by Tom Doan - RTS00166 QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion
by Tom Doan - RTZ00166 RATS program to demonstrate lag length selection techniques in a VAR
by Tom Doan - RTZ00165 RATS program to demonstrate block causality tests in a VAR
by Tom Doan - RTS00163 PRJMULTINOMIAL: RATS procedure to compute predicted probabilities for multinomial logit model
by Tom Doan - RTZ00163 RATS programs to replicate Uhlig's VAR identification technique
by Tom Doan - RTS00162 PRJCONDITIONAL: RATS procedure to compute predicted probabilities for conditional logit model
by Tom Doan - RTZ00162 RATS program to demonstrate time-varying coefficient estimation in a VAR
by Tom Doan - RTS00161 PRINFACTORS: RATS procedure to perform principal components-based factor analysis
by Tom Doan - RTZ00161 RATS programs to replicate Tse's constant correlation GARCH test results
by Tom Doan - RTS00160 PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test
by Tom Doan - RTZ00160 RATS programs to replicate Tsay's 1998 multivariate threshold results
by Tom Doan - RTS00158 PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions
by Tom Doan - RTZ00158 RATS programs to replicate Terasvirta's 1994 STAR model results
by Tom Doan - RTS00157 PERSIST: RATS procedure to compute sum of coefficients of a MA representation for a series
by Tom Doan - RTZ00157 RATS program to demonstrate Markov Switching ARCH
by Tom Doan - RTS00156 PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date
by Tom Doan - RTZ00156 RATS program to demonstrate Swamy GLS matrix weighted estimator
by Tom Doan - RTS00155 PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests
by Tom Doan - RTZ00155 RATS program to demonstrate estimation of a stochastic volatility model
by Tom Doan - RTS00154 PERRONBREAKS: RATS procedure to compute various unit root tests with breaks
by Tom Doan - RTS00152 PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model
by Tom Doan - RTZ00152 RATS program to demonstrate forecasting using spectral techniques
by Tom Doan - RTS00151 PANELFM: RATS procedure to perform panel data group mean FMOLS
by Tom Doan - RTZ00151 RATS programs to replicate Sinclair(2009) bivariate state-space model
by Tom Doan - RTS00150 PANELDOLS: RATS procedure to perform panel data group mean DOLS
by Tom Doan - RTS00147 OLSHODRICK: RATS procedure to compute Hodrick standard errors
by Tom Doan - RTS00146 NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates
by Tom Doan - RTS00145 MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic
by Tom Doan - RTZ00145 RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"
by Tom Doan - RTZ00144 RATS program to demonstrate Shiller smoothness prior for distributed lag
by Tom Doan - RTS00143 MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test
by Tom Doan - RTZ00143 RATS program to demonstate robust estimation techniques in a linear model
by Tom Doan - RTS00142 MVIDENT: RATS procedure to create a Tiao-Box cross correlation matrix
by Tom Doan - RTZ00142 RATS program to demonstrate calculation of an arranged autoregression
by Tom Doan - RTS00141 MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting
by Tom Doan - RTZ00141 RATS program to estimate probit model with random effects
by Tom Doan - RTS00140 MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's
by Tom Doan - RTS00139 MVARCHTEST: RATS procedure to perform Multivariate test for ARCH
by Tom Doan - RTZ00139 RATS programs to replicate Quah and Vahey core inflation estimation
by Tom Doan - RTS00138 MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis
by Tom Doan - RTS00137 MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures
by Tom Doan - RTZ00137 RATS program to demonstrate quadratic programming
by Tom Doan - RTS00136 MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures
by Tom Doan - RTS00135 MSSETUP: RATS procedure to perform Markov switching general support procedures
by Tom Doan - RTZ00135 RATS program to calculate optimal portfolios
by Tom Doan - RTS00134 MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures
by Tom Doan - RTZ00134 RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data
by Tom Doan - RTS00133 MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation
by Tom Doan - RTZ00133 RATS programs to replicate Perron-Wada state space model
by Tom Doan - RTS00132 MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands
by Tom Doan - RTZ00132 RATS programs to replicate Pedroni PPP tests on panel data
by Tom Doan - RTZ00130 RATS programs to replicate Papell and Prodan one and two break unit root tests
by Tom Doan - RTS00129 MIXVAR: RATS procedure to compute mixed estimation of an equation with a Bayesian prior
by Tom Doan - RTZ00128 RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients
by Tom Doan - RTS00127 MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests
by Tom Doan - RTS00126 MESA: RATS procedure to compute and graph a spectrum using Maximum Entropy Method
by Tom Doan - RTZ00126 RATS program to estimate observable index model from Sargent-Sims(1977)
by Tom Doan - RTZ00125 RATS program to demonstrate non-parametric regression
by Tom Doan - RTS00124 MEANGROUP: RATS procedure to perform mean group estimator for panel data
by Tom Doan - RTS00123 MCVARDODDRAWS: RATS procedure to perform Monte Carlo draws from a VAR to generate IRF's
by Tom Doan - RTZ00122 RATS program to demonstrate use of neural networks
by Tom Doan - RTS00121 MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations
by Tom Doan - RTZ00121 RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR
by Tom Doan - RTS00120 MCLEODLI: RATS procedure to perform a McLeod-Li test for 2nd order dependence
by Tom Doan - RTZ00120 RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR
by Tom Doan - RTZ00119 RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs
by Tom Doan - RTS00118 MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands
by Tom Doan - RTZ00118 RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR
by Tom Doan - RTZ00117 RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable
by Tom Doan - RTS00115 MANNWHITNEY: RATS procedure to perform Mann-Whitney test for comparison of samples
by Tom Doan - RTZ00115 RATS programs to replicate Morley-Nelson-Zivot state space decomposition
by Tom Doan - RTS00114 MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests
by Tom Doan - RTS00113 MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm
by Tom Doan - RTZ00113 RATS programs to replicate Michael-Nobay-Peel ESTAR models
by Tom Doan - RTS00112 LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks
by Tom Doan - RTZ00112 RATS programs to replicate Mark-Sul(2003) panel DOLS
by Tom Doan - RTS00111 LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias
by Tom Doan - RTZ00111 RATS program to solve Lubik-Schorfheide JME 2007 DSGE model
by Tom Doan - RTS00110 LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks
by Tom Doan - RTS00109 LOGSKEWTDENSITY: RATS procedure to compute log density of skew-t distribution
by Tom Doan - RTZ00109 RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts
by Tom Doan - RTS00108 LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution
by Tom Doan - RTZ00108 RATS programs to replicate Krolzig MS-VAR's for six country models
by Tom Doan - RTS00107 LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution
by Tom Doan - RTZ00107 RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results
by Tom Doan - RTZ00105 RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility
by Tom Doan - RTZ00104 RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model
by Tom Doan - RTS00103 LIML: RATS procedure to perform limited information maximum likelihood estimation
by Tom Doan - RTS00101 KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model
by Tom Doan - RTS00100 KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test
by Tom Doan - RTZ00100 RATS program to demonstrate Inclan-Tiao test for breaks in variance
by Tom Doan - RTS00099 JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis
by Tom Doan - RTS00098 IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test
by Tom Doan - RTS00097 INVGAMMAPARMS: RATS procedure to compute parameters required for inverse gamma distribution
by Tom Doan - RTS00096 INTERPOL: RATS procedure to interpolate from one frequency to a higher one
by Tom Doan - RTS00094 ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance
by Tom Doan - RTS00093 HURST: RATS procedure to compute a Hurst exponent
by Tom Doan - RTZ00093 RATS programs to estimate multivariate stochastic volatility models
by Tom Doan - RTS00092 HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data
by Tom Doan - RTZ00092 RATS programs to replicate Hansen/Seo paper on threshold cointegration
by Tom Doan - RTZ00091 RATS programs to replicate Hansen's threshold estimation and testing results
by Tom Doan - RTS00090 HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns
by Tom Doan - RTZ00089 RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap
by Tom Doan - RTS00088 HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity
by Tom Doan - RTZ00088 RATS programs to replicate Hansen's example of threshold break in panel data
by Tom Doan - RTS00087 HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method
by Tom Doan - RTZ00087 RATS programs to replicate Hansen's examples of Andrews-Ploberger test
by Tom Doan - RTS00086 HANNARISSANEN: RATS procedure to estimate an ARIMA model using the Hannan-Rissanen algorithm
by Tom Doan - RTZ00086 RATS programs to replicate Hansen's GARCH models with time-varying t-densities
by Tom Doan - RTS00085 HALTON: RATS procedure to generate Halton sequences
by Tom Doan - RTZ00085 RATS program to demonstrate Hannan efficient estimation
by Tom Doan - RTS00084 HADRI: RATS procedure to implement Hadri test for unit roots in panel data
by Tom Doan - RTZ00084 RATS program to estimate Hamilton switching model
by Tom Doan - RTZ00083 RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model
by Tom Doan - RTS00082 GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks
by Tom Doan - RTZ00081 RATS programs to replicate results from Gregory and Hansen(1996) JOE article
by Tom Doan - RTS00080 GPH: RATS procedure to compute Geweke-Porter-Hudak estimate of fractional differencing
by Tom Doan - RTZ00080 RATS programs to replicate Gray's 1996 Regime Switching GARCH paper
by Tom Doan - RTS00079 GNEWBOLD: RATS procedure to perform Granger-Newbold forecast comparison test
by Tom Doan - RTS00078 GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)
by Tom Doan - RTS00077 GLSDETREND: RATS procedure to perform local to unity GLS detrending
by Tom Doan - RTZ00075 RATS program to demonstrate bootstrapping applied to Granger causality test
by Tom Doan - RTS00074 GAUSSHERMITE: RATS procedure to generate weights and grid points for Gauss-Hermite numerical integration
by Tom Doan - RTZ00074 RATS programs to replicate Gonzalo and Granger JBES 1995 paper
by Tom Doan - RTS00073 GARCHFORE: RATS procedure to perform univariate GARCH forecasting
by Tom Doan - RTS00072 GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution
by Tom Doan - RTZ00072 RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR
by Tom Doan - RTS00071 GAIN: RATS procedure to compute and graph the gain and phase of a pair of series
by Tom Doan - RTZ00071 RATS program to demonstrate Gibbs sampling with a linear regression
by Tom Doan - RTS00070 FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row
by Tom Doan - RTZ00070 RATS program to demonstrate contour graph
by Tom Doan - RTS00069 FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares
by Tom Doan - RTZ00069 RATS program to demonstrate univariate GARCH estimation
by Tom Doan - RTS00068 FLUX: RATS procedure to compute a general Nyblom fluctuations test
by Tom Doan - RTZ00068 RATS program to demonstrate multivariate GARCH using 2-stage DCC
by Tom Doan - RTS00067 EXACTINVERSE: RATS procedure to compute exact (limit) inverse with "infinite" components
by Tom Doan - RTZ00067 RATS program to demonstrate multivariate GARCH models
by Tom Doan - RTS00066 ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests
by Tom Doan - RTZ00066 RATS program to demonstrate importance sampling with GARCH model
by Tom Doan - RTS00065 EQNTOACF: RATS procedure to create an ACF from an ARMA equation
by Tom Doan - RTZ00065 RATS program to demonstrate Gibbs sampling with GARCH model
by Tom Doan - RTS00064 ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect
by Tom Doan - RTZ00064 RATS program to demonstrate bootstrapping with a GARCH model
by Tom Doan - RTS00063 ELFCALC: RATS procedure to compute empirical likelihood for a set of moment conditions
by Tom Doan - RTZ00063 RATS programs to replicate Gali's QJE 1992 results
by Tom Doan - RTS00062 EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals
by Tom Doan - RTZ00062 RATS programs to replicates Gali's AEA 1999 VAR results
by Tom Doan - RTS00061 EGTEST: RATS procedure to compute Engle-Granger test for Cointegration
by Tom Doan - RTZ00061 RATS program to demonstrate frequency domain deseasonalization
by Tom Doan - RTZ00060 RATS program to estimate a model with fractional differencing
by Tom Doan - RTS00059 EBA: RATS procedure to perform Extreme Bounds Analysis
by Tom Doan - RTZ00059 RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching
by Tom Doan - RTS00058 DURBINLEVINSON: RATS procedure to compute autoregressive representations using Durbin-Levinson recursion
by Tom Doan - RTZ00058 RATS programs to replicate Faust and Leeper JBES 1997 paper
by Tom Doan - RTZ00057 RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results
by Tom Doan - RTS00056 DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control
by Tom Doan - RTS00055 DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test
by Tom Doan - RTS00054 DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model
by Tom Doan - RTZ00054 RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots
by Tom Doan - RTS00053 DLMGLS: RATS procedure to perform GLS estimation with state-space model for errors
by Tom Doan - RTZ00053 RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration
by Tom Doan - RTS00052 DIVISIA: RATS procedure to compute a Divisia index
by Tom Doan - RTZ00052 RATS programs to estimate structural VAR-GARCH-M model
by Tom Doan - RTS00051 DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency
by Tom Doan - RTZ00051 RATS program to solve Erceg-Henderson-Levin model
by Tom Doan - RTS00050 DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure
by Tom Doan - RTZ00049 RATS programs to replicate Dueker(2005) JBES dynamic probit model
by Tom Doan - RTS00048 DFUNIT: RATS procedure to perform Dickey-Fuller unit root test
by Tom Doan - RTZ00048 RATS programs to replicate Dueker(1997) Markov switching GARCH models
by Tom Doan - RTS00047 DENTON: RATS procedure to distribute a series to a higher frequency using proportional Denton method
by Tom Doan - RTZ00047 RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model
by Tom Doan - RTS00046 CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix
by Tom Doan