# Tom Doan

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## Personal Details

First Name: | Tom |

Middle Name: | |

Last Name: | Doan |

Suffix: | |

RePEc Short-ID: | pdo2 |

http://www.estima.com | |

(in no particular order)

Evanston, Illinois (United States)

http://www.kellogg.northwestern.edu/departments/finance.aspx

(847) 491-3562

(847) 491-5719

2001 Sheridan Road, Evanston, IL 60208-2001

RePEc:edi:dfnwuus (more details at EDIRC)

http://www.kellogg.northwestern.edu/departments/finance.aspx

(847) 491-3562

(847) 491-5719

2001 Sheridan Road, Evanston, IL 60208-2001

RePEc:edi:dfnwuus (more details at EDIRC)

- 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.

- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986.
"

- Tom Doan, 2000.
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**GED: RATS module to draw from Generalized Error Distribution**," Statistical Software Components R031702, Boston College Department of Economics. - 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. - Tom Doan, "undated".
"
**RATS program to demonstrate use of neural networks**," Statistical Software Components RTZ00122, Boston College Department of Economics. - 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. - Tom Doan, "undated".
"
**INVGAMMAPARMS: RATS procedure to compute parameters required for inverse gamma distribution**," Statistical Software Components RTS00097, Boston College Department of Economics. - Tom Doan, "undated".
"
**BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection**," Statistical Software Components RTS00019, Boston College Department of Economics. - 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.
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**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.
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**Efficient Tests for an Autoregressive Unit Root**," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.

- Elliott, Graham, 1999.
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- Tom Doan, "undated".
"
**RATS programs to replicate Terasvirta's 1994 STAR model results**," Statistical Software Components RTZ00158, Boston College Department of Economics. - 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.
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**Measuring Core Inflation?**," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-1144, September.

- Quah, Danny & Vahey, Shaun P, 1995.
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- Tom Doan, "undated".
"
**RRGQTEST: RATS procedure to compute a Goldfeld-Quandt test on recursive residuals**," Statistical Software Components RTS00190, Boston College Department of Economics. - 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.
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**The comovement between output and prices**," Journal of Monetary Economics, Elsevier, vol. 46(1), pages 3-30, August.

- den Haan, Wouter J., 2000.
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- Tom Doan, "undated".
"
**JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis**," Statistical Software Components RTS00099, Boston College Department of Economics. - Tom Doan, "undated".
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**RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs**," Statistical Software Components RTZ00119, Boston College Department of Economics. - 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.
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**A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter**," Econometrica, Econometric Society, vol. 71(2), pages 675-712, March.

- Donald W. K. Andrews & Patrik Guggenberger, 2003.
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- 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.
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**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.

- Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993.
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- 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.
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**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.

- Burnside, Craig, 1994.
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- Tom Doan, "undated".
"
**RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals**," Statistical Software Components RTS00168, Boston College Department of Economics. - 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. - 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.
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**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.

- Marianne Baxter & Robert G. King, 1999.
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- 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.
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**Automatic Modeling Methods for Univariate Series**," Working Papers 9808, Banco de España;Working Papers Homepage.

- Víctor Gómez & Agustín Maravall, 1998.
"
- 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.

- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR**," Statistical Software Components RTZ00072, Boston College Department of Economics. - 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. - Tom Doan, "undated".
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**UNIFORMPARMS: RATS procedure to compute required parameters for uniform distribution**," Statistical Software Components RTS00218, Boston College Department of Economics. - Tom Doan, "undated".
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**RATS program to demonstrate Shiller smoothness prior for distributed lag**," Statistical Software Components RTZ00144, Boston College Department of Economics. - Tom Doan, "undated".
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**NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates**," Statistical Software Components RTS00146, Boston College Department of Economics. - Tom Doan, "undated".
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**EGTEST: RATS procedure to compute Engle-Granger test for Cointegration**," Statistical Software Components RTS00061, Boston College Department of Economics.- James G. MacKinnon, 1990.
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**Critical Values for Cointegration Tests**," Working Papers 1227, Queen's University, Department of Economics.

- James G. MacKinnon, 1990.
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- Tom Doan, "undated".
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**MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands**," Statistical Software Components RTS00132, Boston College Department of Economics. - 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.
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**Let's take a break: Trends and cycles in US real GDP**," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.

- Perron, Pierre & Wada, Tatsuma, 2009.
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- Tom Doan, "undated".
"
**RATS program to demonstrate bootstrapping with a VECM**," Statistical Software Components RTZ00025, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate bootstrapping with a VAR**," Statistical Software Components RTZ00024, Boston College Department of Economics. - Tom Doan, "undated".
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**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.
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**Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis**," Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.

- Hansen, Bruce E, 1996.
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- Tom Doan, "undated".
"
**CORRINTEGRAL: RATS procedure to compute a correlation integral for a series**," Statistical Software Components RTS00040, Boston College Department of Economics. - Tom Doan, "undated".
"
**BJTRANS: RATS procedure to aid in selection of preliminary transformation**," Statistical Software Components RTS00025, Boston College Department of Economics. - Tom Doan, "undated".
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**ARCHTEST: RATS procedure to test a series for ARCH effects**," Statistical Software Components RTS00009, Boston College Department of Economics. - Tom Doan, "undated".
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**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.
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**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.

- Enders, Walter & Granger, C. W. J., 1998.
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- Tom Doan, "undated".
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**DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control**," Statistical Software Components RTS00056, Boston College Department of Economics.- Dennis, Richard, 2007.
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**Optimal Policy In Rational Expectations Models: New Solution Algorithms**," Macroeconomic Dynamics, Cambridge University Press, vol. 11(01), pages 31-55, February.

- Dennis, Richard, 2007.
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- 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. - Tom Doan, "undated".
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**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.
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**The macroeconomy and the yield curve: a dynamic latent factor approach**," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 309-338.

- Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006.
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- 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. - 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.
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**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.
"
- 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.
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**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.

- Chan, K C, et al, 1992.
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- 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.

- Hansen, Bruce E., 1999.
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- Tom Doan, "undated".
"
**ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance**," Statistical Software Components RTS00094, Boston College Department of Economics. - 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.
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**Alternative Variance-Ratio Tests Using Ranks and Signs**," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 1-9, January.

- Wright, Jonathan H, 2000.
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- 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.
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**Long-Term Memory in Stock Market Prices**," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.

- Lo, Andrew W, 1991.
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- 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.

- Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009.
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- 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.
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**Testing for unit roots in heterogeneous panels**," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.

- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
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- Tom Doan, "undated".
"
**FLUX: RATS procedure to compute a general Nyblom fluctuations test**," Statistical Software Components RTS00068, Boston College Department of Economics. - Tom Doan, "undated".
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**STEPPROBIT: RATS procedure to perform backwards stepwise reduction of a probit model**," Statistical Software Components RTS00202, Boston College Department of Economics. - Tom Doan, "undated".
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**CORRADO: RATS procedure to perform Corrado non-parametric event test**," Statistical Software Components RTS00039, Boston College Department of Economics. - Tom Doan, "undated".
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**MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests**," Statistical Software Components RTS00127, Boston College Department of Economics. - Tom Doan, "undated".
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**FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row**," Statistical Software Components RTS00070, Boston College Department of Economics. - Tom Doan, "undated".
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**RATS programs to replicate Blanchard and Quah AER 1989**," Statistical Software Components RTZ00017, Boston College Department of Economics.- Blanchard, Olivier Jean & Quah, Danny, 1989.
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**The Dynamic Effects of Aggregate Demand and Supply Disturbances**," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.

- Blanchard, Olivier Jean & Quah, Danny, 1989.
"
- 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.
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**Employing the extended Kalman filter in measuring the output gap**," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1611-1622, September.

- Ozbek, Levent & Ozlale, Umit, 2005.
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- Tom Doan, "undated".
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**RATS program to demonstrate various stability tests**," Statistical Software Components RTZ00038, Boston College Department of Economics. - Tom Doan, "undated".
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**PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test**," Statistical Software Components RTS00160, Boston College Department of Economics.- Phillips, P C B, 1987.
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**Time Series Regression with a Unit Root**," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.

- Peter C.B. Phillips & Pierre Perron, 1986.
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**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.

- Phillips, P C B, 1987.
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- 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.

- Perron, Pierre & Rodriguez, Gabriel, 2003.
"
- 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.
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**Bootstrapping cointegrating regressions**," Journal of Econometrics, Elsevier, vol. 80(2), pages 297-318, October.

- Li, Hongyi & Maddala, G. S., 1997.
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- Tom Doan, "undated".
"
**MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures**," Statistical Software Components RTS00136, Boston College Department of Economics. - 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.
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**Minimum LM Unit Root Test with One Structural Break**," Working Papers 04-17, Department of Economics, Appalachian State University.

- Junsoo Lee & Mark C. Strazicich, 2004.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate importance sampling with GARCH model**," Statistical Software Components RTZ00066, Boston College Department of Economics. - 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. - Tom Doan, "undated".
"
**PRINFACTORS: RATS procedure to perform principal components-based factor analysis**," Statistical Software Components RTS00161, Boston College Department of Economics. - 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.

- Andrews, Donald W K & Ploberger, Werner, 1994.
"
- 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. - 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, July.

- William A. Brock & David A. Hsieh & Blake LeBaron, 1992.
"
- Tom Doan, "undated".
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**DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency**," Statistical Software Components RTS00051, Boston College Department of Economics. - 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. - Tom Doan, "undated".
"
**DIVISIA: RATS procedure to compute a Divisia index**," Statistical Software Components RTS00052, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate Bayesian VAR estimation**," Statistical Software Components RTZ00030, Boston College Department of Economics. - 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. - 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.

- Hansen, Bruce E., 1999.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate univariate GARCH estimation**," Statistical Software Components RTZ00069, Boston College Department of Economics. - 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.

- Andrews, Donald W K & Ploberger, Werner, 1994.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate conditional forecasting with a VAR**," Statistical Software Components RTZ00037, Boston College Department of Economics. - Tom Doan, "undated".
"
**TSAYNLTEST: RATS procedure to perform Tsay test for neglected non-linearities**," Statistical Software Components RTS00212, Boston College Department of Economics. - Tom Doan, "undated".
"
**HURST: RATS procedure to compute a Hurst exponent**," Statistical Software Components RTS00093, Boston College Department of Economics. - Tom Doan, "undated".
"
**LOGSKEWTDENSITY: RATS procedure to compute log density of skew-t distribution**," Statistical Software Components RTS00109, Boston College Department of Economics. - Tom Doan, "undated".
"
**GNEWBOLD: RATS procedure to perform Granger-Newbold forecast comparison test**," Statistical Software Components RTS00079, Boston College Department of Economics. - 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.

- Filardo, Andrew J, 1994.
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- 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**," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.

- Andrew W. Lo, A. Craig MacKinlay, 1988.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate Arellano-Bond estimator for dynamic panel model**," Statistical Software Components RTZ00005, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to estimate term structure using non-linear methods**," Statistical Software Components RTZ00018, Boston College Department of Economics. - 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.

- Hansen, Bruce E., 2000.
"
- Tom Doan, "undated".
"
**HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity**," Statistical Software Components RTS00088, Boston College Department of Economics. - 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. - Tom Doan, "undated".
"
**MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures**," Statistical Software Components RTS00137, Boston College Department of Economics. - Tom Doan, "undated".
"
**MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting**," Statistical Software Components RTS00141, Boston College Department of Economics. - Tom Doan, "undated".
"
**REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis**," Statistical Software Components RTS00182, Boston College Department of Economics. - 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.

- Granger, Clive W. J. & Uhlig, Harald F., 1990.
"
- Tom Doan, "undated".
"
**RATS programs to replicate Gali's QJE 1992 results**," Statistical Software Components RTZ00063, Boston College Department of Economics. - 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.

- Uhlig, Harald, 2005.
"
- 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.

- Erceg, Christopher J. & Henderson, Dale W. & Levin, Andrew T., 2000.
"
- Tom Doan, "undated".
"
**RATS program to demonstate robust estimation techniques in a linear model**," Statistical Software Components RTZ00143, Boston College Department of Economics. - 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. - 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.

- Bauwens, Luc & Laurent, Sebastien, 2005.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate forecasting using spectral techniques**," Statistical Software Components RTZ00152, Boston College Department of Economics. - 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.

- Robin L. Lumsdaine & David H. Papell, 1997.
"
- 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.

- Papell, David H. & Prodan, Ruxandra, 2006.
"
- Tom Doan, "undated".
"
**SURGIBBSSETUP: RATS procedure to set up Gibbs sampler for SUR model**," Statistical Software Components RTS00205, Boston College Department of Economics. - Tom Doan, "undated".
"
**MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic**," Statistical Software Components RTS00145, Boston College Department of Economics. - 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.

- Uhlig, Harald, 2005.
"
- 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.

- Murad S. Taqqu & Vadim Teverovsky & Walter Willinger, 1999.
"
- Tom Doan, "undated".
"
**GPH: RATS procedure to compute Geweke-Porter-Hudak estimate of fractional differencing**," Statistical Software Components RTS00080, Boston College Department of Economics. - 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.

- Hansen, Bruce E, 1996.
"
- 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, 05.

- Silvia Fabiani & Ricardo Mestre, 2004.
"
- 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, 03.

- Tara M. Sinclair, 2009.
"
- 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. - 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. - Tom Doan, "undated".
"
**RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR**," Statistical Software Components RTZ00120, Boston College Department of Economics. - 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. - 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.

- Gonzalo, Jesus & Granger, Clive W J, 1995.
"
- 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. - Tom Doan, "undated".
"
**RATS program to demonstrate Inclan-Tiao test for breaks in variance**," Statistical Software Components RTZ00100, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper**," Statistical Software Components RTZ00012, Boston College Department of Economics. - 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.

- James C. Morley & Charles R. Nelson & Eric Zivot, 2003.
"
- Tom Doan, "undated".
"
**PRJCONDITIONAL: RATS procedure to compute predicted probabilities for conditional logit model**," Statistical Software Components RTS00162, Boston College Department of Economics. - 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.

- Jushan Bai & Pierre Perron, 2003.
"
- Tom Doan, "undated".
"
**MSSETUP: RATS procedure to perform Markov switching general support procedures**," Statistical Software Components RTS00135, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate Hannan efficient estimation**," Statistical Software Components RTZ00085, Boston College Department of Economics. - 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.

- Gregory, Allan W. & Hansen, Bruce E., 1996.
"
- 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.

- Tse, Y. K., 2000.
"
- Tom Doan, "undated".
"
**RATS programs to replicate Bernanke and Mihov QJE 1998**," Statistical Software Components RTZ00013, Boston College Department of Economics. - 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. - Tom Doan, "undated".
"
**CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix**," Statistical Software Components RTS00046, Boston College Department of Economics. - 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.

- King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991.
"
- 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. - 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.

- Campbell, John Y & Ammer, John, 1993.
"
- 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.

- Kiviet, Jan F., 1995.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate Markov Switching ARCH**," Statistical Software Components RTZ00157, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS programs to replicate Krolzig MS-VAR's for six country models**," Statistical Software Components RTZ00108, Boston College Department of Economics. - 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(01), pages 31-55, February.

- Dennis, Richard, 2007.
"
- Tom Doan, "undated".
"
**PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests**," Statistical Software Components RTS00155, Boston College Department of Economics. - Tom Doan, "undated".
"
**LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution**," Statistical Software Components RTS00108, Boston College Department of Economics. - 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.

- Harris, Richard D. F. & Tzavalis, Elias, 1999.
"
- 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. - 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.

- Ireland, Peter N., 2004.
"
- Tom Doan, "undated".
"
**VARMADLM: RATS procedure to analyze a VARMA using state-space techniques**," Statistical Software Components RTS00229, Boston College Department of Economics. - Tom Doan, "undated".
"
**GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution**," Statistical Software Components RTS00072, Boston College Department of Economics. - Tom Doan, "undated".
"
**RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods**," Statistical Software Components RTS00186, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate multivariate GARCH models**," Statistical Software Components RTZ00067, Boston College Department of Economics. - Estima, "undated".
"
**Unit Roots, Cointegration, VAR estimation and more**," Rats codes proc0194, . - Tom Doan, "undated".
"
**RATS program to demonstrate Swamy GLS matrix weighted estimator**," Statistical Software Components RTZ00156, Boston College Department of Economics. - Tom Doan, "undated".
"
**UFOREERRORS: RATS procedure to compute forecast errors for a univariate model**," Statistical Software Components RTS00216, Boston College Department of Economics. - 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.

- Michael, Panos & Nobay, A Robert & Peel, David A, 1997.
"
- 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. - 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.

- Michael Dueker, 2005.
"
- Tom Doan, "undated".
"
**QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion**," Statistical Software Components RTS00166, Boston College Department of Economics. - 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.

- Peter Pedroni, 2000.
"
- Tom Doan, "undated".
"
**PRJMULTINOMIAL: RATS procedure to compute predicted probabilities for multinomial logit model**," Statistical Software Components RTS00163, Boston College Department of Economics. - Tom Doan, "undated".
"
**BETAPARMS: RATS procedure to compute parameters required for beta distribution**," Statistical Software Components RTS00017, Boston College Department of Economics. - Tom Doan, "undated".
"
**MVARCHTEST: RATS procedure to perform Multivariate test for ARCH**," Statistical Software Components RTS00139, Boston College Department of Economics. - 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.

- Zivot, Eric & Andrews, Donald W K, 1992.
"
- 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. - Tom Doan, "undated".
"
**RATS program to demonstrate multivariate GARCH using 2-stage DCC**," Statistical Software Components RTZ00068, Boston College Department of Economics. - Tom Doan, "undated".
"
**MVIDENT: RATS procedure to create a Tiao-Box cross correlation matrix**," Statistical Software Components RTS00142, Boston College Department of Economics. - Tom Doan, "undated".
"
**MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands**," Statistical Software Components RTS00118, Boston College Department of Economics. - 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.

- Diebold, Francis X & Mariano, Roberto S, 1995.
"
- 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.

- Lubik, Thomas A. & Schorfheide, Frank, 2007.
"
- Estima, "undated".
"
**Hurst exponent estimation procedure**," Rats codes hurst, . - Tom Doan, "undated".
"
**RATS program to demonstrate bootstrapping with a GARCH model**," Statistical Software Components RTZ00064, Boston College Department of Economics. - Tom Doan, "undated".
"
**CROSSPEC: RATS procedure to compute and graph phase and coherence**," Statistical Software Components RTS00042, Boston College Department of Economics. - 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.

- Christopher A. Sims, 1988.
"
- 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.

- Hansen, Bruce E. & Seo, Byeongseon, 2002.
"
- 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.

- Newbold, Paul, 1990.
"
- Tom Doan, "undated".
"
**RATS program to estimate a linear regression using an adaptive kernel estimator**," Statistical Software Components RTZ00001, Boston College Department of Economics. - 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.

- Andrews, Donald W K & Ploberger, Werner, 1994.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate time-varying coefficient estimation in a VAR**," Statistical Software Components RTZ00162, Boston College Department of Economics. - Tom Doan, "undated".
"
**BRYBOSCHAN: RATS procedure to implement Bry-Boschan business cycle dating**," Statistical Software Components RTS00031, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to calculate optimal portfolios**," Statistical Software Components RTZ00135, Boston College Department of Economics. - 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. - Tom Doan, "undated".
"
**RATS program to demonstrate frequency domain deseasonalization**," Statistical Software Components RTZ00061, Boston College Department of Economics. - 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.

- Hansen, Bruce E., 1992.
"
- 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.

- Kaddour Hadri, 2000.
"
- 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.

- Tse, Y. K., 2000.
"
- Tom Doan, "undated".
"
**LIML: RATS procedure to perform limited information maximum likelihood estimation**," Statistical Software Components RTS00103, Boston College Department of Economics. - Tom Doan, "undated".
"
**MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures**," Statistical Software Components RTS00134, Boston College Department of Economics. - 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.

- Chow, Gregory C & Lin, An-loh, 1971.
"
- 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.

- Chow, K. Victor & Denning, Karen C., 1993.
"
- 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.

- Gray, Stephen F., 1996.
"
- 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.

- Jushan Bai & Pierre Perron, 2003.
"
- 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.

- Arino, Miguel A. & Newbold, Paul, 1998.
"
- 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.

- Faust, Jon & Leeper, Eric M, 1997.
"
- 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.

- Peter Pedroni, 2001.
"
- 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, 01.

- FrancisX. Diebold & Kamil Yilmaz, 2009.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate block causality tests in a VAR**," Statistical Software Components RTZ00165, Boston College Department of Economics. - 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.

- Balke, Nathan S & Fomby, Thomas B, 1997.
"
- 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.

- Phillips, P C B, 1991.
"
- Tom Doan, "undated".
"
**MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations**," Statistical Software Components RTS00121, Boston College Department of Economics. - Tom Doan, "undated".
"
**EXACTINVERSE: RATS procedure to compute exact (limit) inverse with "infinite" components**," Statistical Software Components RTS00067, Boston College Department of Economics. - 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.

- Hansen Bruce E., 1997.
"
- 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.

- Swamy, P A V B, 1970.
"
- 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.

- Wu, De-Min, 1974.
"
- Tom Doan, "undated".
"
**CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation**," Statistical Software Components RTS00044, Boston College Department of Economics. - 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 Lütkepohl, 2008.
"
**Identifying Monetary Policy Shocks via Changes in Volatility**," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, 09.

- Markku Lanne & Helmut Lütkepohl, 2008.
"
- 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. - 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. - 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. - Tom Doan, "undated".
"
**RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation**," Statistical Software Components RTZ00040, Boston College Department of Economics. - 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.

- Hansen, Bruce E, 1994.
"
- Tom Doan, "undated".
"
**PERRONBREAKS: RATS procedure to compute various unit root tests with breaks**," Statistical Software Components RTS00154, Boston College Department of Economics. - Tom Doan, "undated".
"
**SPECFORE: RATS procedure to compute forecasts using spectral techniques**," Statistical Software Components RTS00195, Boston College Department of Economics. - 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.

- McCulloch, J Huston, 1971.
"
- Tom Doan, "undated".
"
**RATS program to solve Cass-Koopmans growth model**," Statistical Software Components RTZ00031, Boston College Department of Economics. - Tom Doan, "undated".
"
**STRUCTRESIDS: RATS procedure to compute structural residuals from standard residuals**," Statistical Software Components RTS00204, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate lag length selection techniques in a VAR**," Statistical Software Components RTZ00166, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to estimate probit model with random effects**," Statistical Software Components RTZ00141, Boston College Department of Economics. - Tom Doan, "undated".
"
**CANCORR: RATS procedure to compute canonical correlations for two sets of series**," Statistical Software Components RTS00032, Boston College Department of Economics. - 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.

- Hamilton, James D. & Susmel, Raul, 1994.
"
- 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. - Tom Doan, "undated".
"
**BICORRTEST: RATS procedure to compute Hinich bi-correlations test for autocorrelation**," Statistical Software Components RTS00018, Boston College Department of Economics. - Tom Doan, "undated".
"
**VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression**," Statistical Software Components RTS00230, Boston College Department of Economics. - 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.

- Stock, James H & Watson, Mark W, 1993.
"
- 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.

- Jushan Bai & Serena Ng, 2002.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable**," Statistical Software Components RTZ00117, Boston College Department of Economics. - Tom Doan, "undated".
"
**STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR**," Statistical Software Components RTS00201, Boston College Department of Economics. - 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.

- Jushan Bai & Pierre Perron, 2003.
"
- Tom Doan, "undated".
"
**DFUNIT: RATS procedure to perform Dickey-Fuller unit root test**," Statistical Software Components RTS00048, Boston College Department of Economics. - 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. - Tom Doan, "undated".
"
**RATS programs to estimate multivariate stochastic volatility models**," Statistical Software Components RTZ00093, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate bootstrapping applied to Granger causality test**," Statistical Software Components RTZ00075, Boston College Department of Economics. - 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. - 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, 09.

- John Elder & Apostolos Serletis, 2010.
"
- Tom Doan, "undated".
"
**RATS program to estimate DSGE model**," Statistical Software Components RTZ00028, Boston College Department of Economics. - 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.

- Enders, Walter & Siklos, Pierre L, 2001.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate bootstrapping spectral density estimates**," Statistical Software Components RTZ00023, Boston College Department of Economics. - Tom Doan, "undated".
"
**GARCHFORE: RATS procedure to perform univariate GARCH forecasting**," Statistical Software Components RTS00073, Boston College Department of Economics. - 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**," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-386.

- Hodrick, Robert J, 1992.
"
- 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.

- Hansen, Bruce E., 1992.
"
- 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.

- Nelson C. Mark & Donggyu Sul, 2003.
"
- 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. - 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.

- Chow, Gregory C & Lin, An-loh, 1971.
"
- 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.

- Thomas J. Sargent & Christopher A. Sims, 1977.
"
- Tom Doan, "undated".
"
**MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test**," Statistical Software Components RTS00143, Boston College Department of Economics. - 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.

- Bjørnland, Hilde C. & Leitemo, Kai, 2009.
"
- 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. - Tom Doan, "undated".
"
**RATS program to estimate a model with fractional differencing**," Statistical Software Components RTZ00060, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate Gibbs sampling with GARCH model**," Statistical Software Components RTZ00065, Boston College Department of Economics. - 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.

- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994.
"
- Tom Doan, "undated".
"
**ABLAGS: RATS procedure to generate Arellano-Bond set of instruments**," Statistical Software Components RTS00001, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate bootstrapping with an ARMA model**," Statistical Software Components RTZ00020, Boston College Department of Economics. - Tom Doan, "undated".
"
**VARIMAX: RATS procedure to perform factor rotation using varimax criterion**," Statistical Software Components RTS00224, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate non-parametric regression**," Statistical Software Components RTZ00125, Boston College Department of Economics. - Tom Doan, "undated".
"
**INTERPOL: RATS procedure to interpolate from one frequency to a higher one**," Statistical Software Components RTS00096, Boston College Department of Economics. - Tom Doan, "undated".
"
**ADTEST: RATS procedure to perform Anderson-Darling test for normality**," Statistical Software Components RTS00004, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate estimation of an ARMAX model**," Statistical Software Components RTZ00007, Boston College Department of Economics. - Tom Doan, "undated".
"
**REGPCSE: RATS procedure to compute panel-corrected standard error calculation**," Statistical Software Components RTS00179, Boston College Department of Economics. - Tom Doan, "undated".
"
**MEANGROUP: RATS procedure to perform mean group estimator for panel data**," Statistical Software Components RTS00124, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate Gibbs sampling with a linear regression**," Statistical Software Components RTZ00071, Boston College Department of Economics. - 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.

- Enders, Walter & Siklos, Pierre L, 2001.
"
- Tom Doan, "undated".
"
**HALTON: RATS procedure to generate Halton sequences**," Statistical Software Components RTS00085, Boston College Department of Economics. - 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.

- Achim Zeileis, 2004.
"
- 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.

- Blanchard, Olivier Jean & Quah, Danny, 1989.
"
- 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.

- Perron, Pierre & Rodriguez, Gabriel, 2003.
"
- 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. - 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.

- Christopher A. Sims & Tao Zha, 1999.
"
- Tom Doan, "undated".
"
**BDINDTEST: RATS procedure to perform battery of independence tests**," Statistical Software Components RTS00015, Boston College Department of Economics. - Tom Doan, "undated".
"
**REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression**," Statistical Software Components RTS00184, Boston College Department of Economics. - Tom Doan, "undated".
"
**CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular**," Statistical Software Components RTS00037, Boston College Department of Economics. - Tom Doan, "undated".
"
**MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation**," Statistical Software Components RTS00133, Boston College Department of Economics. - 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. - 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.

- Peter Pedroni, 2001.
"
- Tom Doan, "undated".
"
**RATS programs to replicate Tsay's 1998 multivariate threshold results**," Statistical Software Components RTZ00160, Boston College Department of Economics. - 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.

- Jordi Gali, 1999.
"
- 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.

- Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993.
"
- 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. - 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.

- Andrew Mountford & Harald Uhlig, 2009.
"
- 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, 05.

- Lawrence J. Christiano & Terry J. Fitzgerald, 2003.
"
- Tom Doan, "undated".
"
**EQNTOACF: RATS procedure to create an ACF from an ARMA equation**," Statistical Software Components RTS00065, Boston College Department of Economics. - 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. - Tom Doan, "undated".
"
**RATS program to demonstrate calculation of an arranged autoregression**," Statistical Software Components RTZ00142, Boston College Department of Economics. - Tom Doan, "undated".
"
**UNIQUEVALUES: RATS procedure to extract unique values from a series**," Statistical Software Components RTS00219, Boston College Department of Economics. - 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. - 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.

- Hansen, Bruce E, 1997.
"
- Tom Doan, "undated".
"
**RATS program to demonstrate contour graph**," Statistical Software Components RTZ00070, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR**," Statistical Software Components RTZ00118, Boston College Department of Economics. - Tom Doan, "undated".
"
**ROLLREG: RATS procedure to compute rolling regressions for least squares**," Statistical Software Components RTS00188, Boston College Department of Economics. - 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. - 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. - 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.

- Dueker, Michael J, 1997.
"
- Tom Doan, "undated".
"
**DURBINLEVINSON: RATS procedure to compute autoregressive representations using Durbin-Levinson recursion**," Statistical Software Components RTS00058, Boston College Department of Economics. - 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. - 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. - Tom Doan, "undated".
"
**RATS program to demonstrate estimation of structural VAR's**," Statistical Software Components RTZ00041, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to estimate Hamilton switching model**," Statistical Software Components RTZ00084, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate quadratic programming**," Statistical Software Components RTZ00137, Boston College Department of Economics. - Tom Doan, "undated".
"
**VARLAGSELECT: RATS procedure to select lag length for a VAR model**," Statistical Software Components RTS00228, Boston College Department of Economics. - Tom Doan, "undated".
"
**CONDITION: RATS procedure to implement conditional forecasting**," Statistical Software Components RTS00038, Boston College Department of Economics. - Tom Doan, "undated".
"
**SPECTRUM: RATS procedure to compute/graph spectral density**," Statistical Software Components RTS00196, Boston College Department of Economics. - Tom Doan, "undated".
"
**MANNWHITNEY: RATS procedure to perform Mann-Whitney test for comparison of samples**," Statistical Software Components RTS00115, Boston College Department of Economics. - Tom Doan, "undated".
"
**RATS program to demonstrate estimation of a stochastic volatility model**," Statistical Software Components RTZ00155, Boston College Department of Economics. - 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.

- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"
- Tom Doan, "undated".
"
**SWTRENDS: RATS procedure to test cointegration rank using common trends analysis**," Statistical Software Components RTS00208, Boston College Department of Economics.

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#### Most cited item

- 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.

#### Most downloaded item (past 12 months)

- Tom Doan, "undated".
"
**RATS programs to estimate structural VAR-GARCH-M model**," Statistical Software Components RTZ00052, Boston College Department of Economics.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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