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WinRATS

WinRATS

Estima develops and sells RATS (Regression Analysis of Time Series), a leading econometrics and time-series analysis software package.

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WinRATS


Overview

RATS (Regression Analysis of Time Series) is a fast, efficient, and comprehensive econometrics and time series analysis software package. For more than two decades, it has been the econometrics software of choice at universities, central banks, and corporations around the world. Our current release, Version 9.0, is easier to use than ever while continuing to offer the most advanced tools available for cutting-edge econometrics research.

We'll take a closer look at the RATS program below. For more details, see the List of Features page or click on any of the menu items at left

 

Econometrics and Data Management

RATS provides all the basics you expect, including linear and non-linear least squares, forecasting, SUR, and ARIMA models. But it goes far beyond that, with support for techniques like GMM, ARCH and GARCH models, state space models, and more. RATS also offers unmatched support for Vector Autoregression models, and is one of the few programs to offer spectral analysis capabilities.

RATS can handle time series of virtually any frequency, including daily and weekly, as well as panel and cross-section data.

Menu-driven data wizards and support for reading various text, spreadsheet, and database file formats make it easy to get your data into RATS. Our Professional version adds support for more database formats, including SQL/ODBC data access, for even more flexibility.


RATS Screen Shot

The RATS Editor

Our interactive RATS Editor environment allows you to quickly implement econometric analysis tasks, and makes it easy to try different model specifications or techniques without having to rerun entire programs.

You can save your work as a RATS program, allowing you to reproduce your results at any time with just a couple of mouse clicks.

 

(click on images to enlarge)

 

Point-and-Click Wizards

RATS Wizards menu

The editor also offers more than 40 menu-driven Wizards that provide point-and-click access to most common tasks, including reading data, displaying graphs, doing transformations, estimating a variety of models, and hypothesis testing. These help make RATS an ideal tool for new users and for use in educational settings.

When you use a Wizard, RATS displays the corresponding commands in the editor window so you can actually learn the RATS language through using the Wizards. This also allows you to use the Wizards to build complete programs that can be re-executed again later.

An often-overlooked aspect of econometric research is ensuring that results are reported accurately. RATS addresses this with a powerful report-generation feature for quickly generating accurate tables of reports, which you can export to text or spreadsheet files for direct inclusion in papers and presentations.

Below: The ARCH/GARCH Wizard dialog box At Right: The Time Series Wizard menuRATS ARCH/GARCH Wizard Screen

 

 

High-Quality Graphs

RATS allows you to create publication-quality time series graphs, scatter plots, and contour graphs.

RATS Graphics SampleRATS Graphics Sample

 

Programming Capabilities

The command-driven language at the heart of the program remains easy to learn and use for simple jobs, but its extensive programming capabilities also allow you to handle much more complex tasks. Features include user-definable procedures and functions, looping and program control instructions, and the ability to create user-defined menus and dialog boxes. With these capabilities, you can automate complex or repetitive tasks, and even write sophisticated menu- and dialog-driven end-user applications.

All versions of RATS also offer "batch mode" operation. You can run jobs several ways: from the command line; by dragging and dropping files; or by double-clicking on a desktop icon. This is especially helpful for users who need to run the same jobs on a regular basis.

 

Cross Platform Support

RATS is available for WindowsMacintoshUNIX and Linux, with complete compatibility across platforms. You can share programs, data files, output, and graph files across any of these platforms with no translation required.

Below is a listing of many of the key features supported by RATS. Please note that RATS is designed to be a very powerful and flexible program, so there is no way we can list all of its capabilities here. If, after looking over this list, you are not sure that RATS can do what you need, just ask us. You can e-mail us at support@estima.com and we'll do our best to answer your question.

Statistical Methods

 

Estimation Techniques

  • Multiple regressions including stepwise
  • Regression with autoregressive errors
  • Heteroscedasticity/serial-correlation correction, including Newey-West
  • Non-linear least squares
  • Two-stage least squares for linear, non-linear, and autocorrelated models
  • Seemingly unrelated regressions and three-stage least squares
  • Non-linear systems estimation
  • Generalized Method of Moments
  • Maximum likelihood estimation
  • Constrained optimization
  • Extensive built-in hypothesis testing capabilities.
  • Pre-written procedures for a huge variety of other tests, including unit-root, stability, and much more
  • Limited and discrete dependent variable models: logit, probit, censored/truncated (Tobit), count models
  • Panel data support, including fixed and random effects estimators
  • Non-parametric regressions
  • Kernel density estimation
  • Robust estimation
  • Recursive least squares
  • State-space models, including Kalman filtering and smoothing, simulations, and optimal control models
  • Neural network models
  • Linear and quadratic programming
  • Dynamic Stochastic General Equilibrium (DSGE) models

Time Series Procedures

  • Easy to specify lags and leads for time-series model estimation and analysis
  • ARIMA and ARMAX models including multiplicative seasonal models; support for arbitrary lag structures
  • Transfer function/intervention models
  • Error correction models
  • Kalman filter
  • Spectral analysis

Forecasting

  • Time series models
  • Regression models
  • Exponential smoothing
  • Static or dynamic forecasts
  • Simultaneous equation models (unlimited number of equations)
  • Simulations with random or user-supplied shocks
  • Forecast performance statistics, including Theil U statistics

Vector Autoregressions (VARs)

  • Unmatched support for VAR models
  • Error Correction models
  • Structural VARs. Choice of factorizations, including estimating a factor matrix from a covariance matrix model
  • Impulse responses, with Monte Carlo and Importance Sampling techniques for standard error bands.
  • Forecasting
  • Variance decomposition
  • Historical decomposition
  • Extensive hypothesis testing tools
  • CATS 2.0 add-on provides industry-leading cointegration analysis

ARCH and GARCH Models

  • Univariate and multivariate, including BEKK, diagonal, CC, DCC, and Vech multivariate models
  • Support for GARCH-in-mean models
  • Additional exogenous variables in mean and/or variance equations
  • Normal, t and GED distributions
  • Exponential and Asymmetric models
  • Robust standard errors

Working With Data

 

Data Entry

  • Menu-driven Data Wizards for reading in data
  • Reads and writes Excel® files (including Excel 2007), text files, Stata®, Eviews®, Matlab®, Haver databases, and other formats
  • Pro version supports SQL/ODBC access, online access to the FRED® database, CRSP® data, and more
  • On-screen data viewer and editor, with point-and-click graphing and statistics tools
  • Can handle virtually any data frequency, including daily, weekly, intra-day, and panel data
  • Can automatically compact or expand data to different frequencies
  • RATS data file format is fast and easy, supports all frequencies, and allows you to store series of different frequencies on the same file

Data Transformations

  • Flexible transformations with algebraic formulas
  • Easy to create trend series, seasonal, and time period dummies
  • Extensive filtering operations, including Hodrick-Prescott, Henderson, Spencer, and custom filters
  • Supports regular, seasonal, and fractional differencing

Graphics

  • Time series graphics
  • X-Y scatter plots
  • Dual-scale graphs
  • Box plots
  • Contour graphs
  • Ability to arrange multiple graphs on a single page
  • Copy-and-paste graphs into other applications
  • Export graphs to many formats, including PostScript and Windows Metafile
  • User can customize attributes such as line thickness, colors and grayscale levels, and fill patterns

Interface

 

Interactive Mode Environment

  • Text-editor based
  • Point-and-click "wizards" for many tasks, greatly enhancing ease-of-use
  • Saved programs can be re-run with just a few mouse clicks
  • Designed so that you can reproduce results, output, and graphs easily and accurately (a critical but often overlooked requirement for producing reliable, publication-quality results)
  • True multiple window support. Simultaneously view your input commands and output, spreadsheet-style "report" windows, graphs, and more

Programmability

  • Extensive looping capabilities and support for applying operations to lists of variables make it possible to automate many repetitive tasks
  • You can write procedures, which can perform complex tasks with a single instruction, and write your own callable functions.
  • A library of procedures written by RATS users from around the world is available free of charge on our web site
  • A variety of interface-related instructions allow you to create your own drop-down menus, custom dialog boxes, and more

Report Capabilities

  • Strong focus on making it easy to get results easily and accurately into documents or other applications.
  • Tables of output can be viewed in Report Windows, for easy exporting or copying-and-pasting into other applications.
  • Powerful report-generation features for constructing and exporting your own tables of information.
  • Easy control over displayed precision in output
  • TeX: Support for exporting TeX tables

RATS Professional

The Professional level of RATS adds the following features not found in the Standard level:

  • Support for reading databases via ODBC/SQL
  • Census Bureau X12-ARIMA seasonal adjustment routine
  • Support for FAME data files (for Windows and unix/linux)
  • Support for CRSP data files
  • Online access to the FRED database

RATS has the right mix of sophisticated built-in statistical functions (for instance, for state-space modeling, GARCH estimation, ARIMA models and vector autoregressions), menu-driven operations and programming features to help you get your tasks done quickly and correctly. See RATS Features for a complete list.

In addition, we have a wide collection of resources available to help you get the most out of your software. This includes over a thousand worked examples from more than twenty major textbooks, replications of over fifty important papers on a wide range of topics, and hundreds of procedures to extend the standard "built-in" calculations.

RATS has been heavily tested. See NIST results for a look at how we do on standard benchmarks. In addition, all the examples described in the previous paragraph were checked carefully for accuracy. In the vast majority of cases, if there was a problem found replicating a result, it was an error in the original work, not with the RATS calculation.

Compared to Math Packages

Much of the current empirical work in econometrics uses "math packages". These are designed to work primarily with data in "matrix" form, and they do built-in matrix functions very well. However, particularly in time series work, this view of data doesn't work well, because the data matrix for one operation with one set of lags is different from the one needed with a different set. If you look at a program for, for instance, the estimation of a Vector Autoregression, very little of it will be the matrix calculations to compute the coefficients—most will be moving information around to create the required matrices. This can be a very error-prone process and, in fact, there have been quite a few published papers which have had serious errors in data handling.

By contrast, RATS keeps the data in a fixed location, anchored to its time periods, and automatically adjusts the sample range to allow for lags of the explanatory variables and for any other type of missing values.

RATS also has carefully tested routines to estimate things like GARCH or state-space models which would have to be written in matrix language. You might be able to find or buy subprograms to handle those, but the quality is rather uneven—some are very good, some aren't.

Compared to Other Statistical Packages

Because RATS is specially designed for time series work, it automatically takes care of adjusting the sample range to allow for lags. You don't have to create separate variables for lags—you just tell RATS to use lags of what you have.

The RATS GARCH, DLM (for state-space models) and BOXJENK instructions have features not found in any other comparable software. The programming language has everything you would expect: scalars, matrices, procedures and functions, but also includes specialized "data types" which simplify tasks which could be very complicated if they didn't exist. For instance, you can "add" non-linear parameter sets, allowing you to combine sets for separate equations or separate parts of a model (mean and variance, for instance) when estimating a complete model. You can create complex structures from basic elements such as data series for easy of manipulation.

RATS also has user-definable menus and dialogs for very sophisticated types of programs. CATS is the best example of this—it is entirely written in the RATS programming language.

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