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Content
Undated
- RTS00045 CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests
by Tom Doan - RTS00044 CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation
by Tom Doan - RTZ00044 RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations
by Tom Doan - RTZ00043 RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control
by Tom Doan - RTS00042 CROSSPEC: RATS procedure to compute and graph phase and coherence
by Tom Doan - RTZ00042 RATS programs to replicate Den Haan JME(2000) correlation of comovements
by Tom Doan - RTZ00041 RATS program to demonstrate estimation of structural VAR's
by Tom Doan - RTS00040 CORRINTEGRAL: RATS procedure to compute a correlation integral for a series
by Tom Doan - RTZ00040 RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation
by Tom Doan - RTS00039 CORRADO: RATS procedure to perform Corrado non-parametric event test
by Tom Doan - RTS00038 CONDITION: RATS procedure to implement conditional forecasting
by Tom Doan - RTZ00038 RATS program to demonstrate various stability tests
by Tom Doan - RTS00037 CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular
by Tom Doan - RTZ00037 RATS program to demonstrate conditional forecasting with a VAR
by Tom Doan - RTS00036 CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series
by Tom Doan - RTS00035 CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test
by Tom Doan - RTZ00035 RATS programs to replicate CKLS(1992) estimation of interest rate models
by Tom Doan - RTS00034 CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method
by Tom Doan - RTS00033 CFEAT: RATS procedure to identify turning points and cyclical phases of a series
by Tom Doan - RTS00032 CANCORR: RATS procedure to compute canonical correlations for two sets of series
by Tom Doan - RTS00031 BRYBOSCHAN: RATS procedure to implement Bry-Boschan business cycle dating
by Tom Doan - RTZ00031 RATS program to solve Cass-Koopmans growth model
by Tom Doan - RTS00030 BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization
by Tom Doan - RTZ00030 RATS program to demonstrate Bayesian VAR estimation
by Tom Doan - RTS00029 BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects
by Tom Doan - RTZ00029 RATS programs to replicate Campbell and Ammer's JOF 1993 paper
by Tom Doan - RTS00028 BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition
by Tom Doan - RTZ00028 RATS program to estimate DSGE model
by Tom Doan - RTZ00027 RATS programs to replicate Burnside's JBES 1994 paper on asset pricing
by Tom Doan - RTS00026 BKFILTER: RATS procedure to implement band pass filter using Baxter-King method
by Tom Doan - RTS00025 BJTRANS: RATS procedure to aid in selection of preliminary transformation
by Tom Doan - RTZ00025 RATS program to demonstrate bootstrapping with a VECM
by Tom Doan - RTZ00024 RATS program to demonstrate bootstrapping with a VAR
by Tom Doan - RTZ00023 RATS program to demonstrate bootstrapping spectral density estimates
by Tom Doan - RTZ00021 RATS program to demonstrate bootstrapping with cointegration
by Tom Doan - RTZ00020 RATS program to demonstrate bootstrapping with an ARMA model
by Tom Doan - RTS00019 BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection
by Tom Doan - RTZ00019 RATS program to estimate term structure with cubic splines
by Tom Doan - RTS00018 BICORRTEST: RATS procedure to compute Hinich bi-correlations test for autocorrelation
by Tom Doan - RTZ00018 RATS program to estimate term structure using non-linear methods
by Tom Doan - RTS00017 BETAPARMS: RATS procedure to compute parameters required for beta distribution
by Tom Doan - RTZ00017 RATS programs to replicate Blanchard and Quah AER 1989
by Tom Doan - RTS00016 BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d
by Tom Doan - RTZ00016 RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions
by Tom Doan - RTS00015 BDINDTEST: RATS procedure to perform battery of independence tests
by Tom Doan - RTS00014 BAYESTST: RATS procedure to perform Bayesian Unit Root test
by Tom Doan - RTS00013 BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes
by Tom Doan - RTZ00013 RATS programs to replicate Bernanke and Mihov QJE 1998
by Tom Doan - RTS00012 BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas
by Tom Doan - RTZ00012 RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper
by Tom Doan - RTS00011 ARMASPECTRUM: RATS procedure to graph the spectral density for an input ARMA model
by Tom Doan - RTS00010 ARMADLM: RATS procedure to set up a DLM (state-space model) based upon an ARMA model
by Tom Doan - RTZ00010 RATS programs to replicate Balke-Fomby threshold cointegration
by Tom Doan - RTS00009 ARCHTEST: RATS procedure to test a series for ARCH effects
by Tom Doan - RTZ00009 RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results
by Tom Doan - RTS00008 ARAUTOLAGS: RATS procedure to compute information criteria for AR models using Yule-Walker or Burg
by Tom Doan - RTZ00008 RATS programs to replicate examples of Bai-Perron procedure
by Tom Doan - RTS00007 APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood
by Tom Doan - RTZ00007 RATS program to demonstrate estimation of an ARMAX model
by Tom Doan - RTS00006 APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test
by Tom Doan - RTS00005 AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference
by Tom Doan - RTZ00005 RATS program to demonstrate Arellano-Bond estimator for dynamic panel model
by Tom Doan - RTS00004 ADTEST: RATS procedure to perform Anderson-Darling test for normality
by Tom Doan - G00003 Kernel Density Code
by Yuriy Tchamourliyski - RTS00003 ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test
by Tom Doan - G00002 Endogenous Probit And Endogenous Sample Selection Code
by Yuriy Tchamourliyski - RTZ00002 RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009
by Tom Doan - G00001 Semi-Parametric Binary And Sample Selection Code
by Yuriy Tchamourliyski - RTS00001 ABLAGS: RATS procedure to generate Arellano-Bond set of instruments
by Tom Doan - RTZ00001 RATS program to estimate a linear regression using an adaptive kernel estimator
by Tom Doan