Content
Undated
- RTS00121 MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations
by Tom Doan - RTZ00121 RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR
by Tom Doan - RTS00120 MCLEODLI: RATS procedure to perform a McLeod-Li test for 2nd order dependence
by Tom Doan - RTZ00120 RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR
by Tom Doan - RTZ00119 RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs
by Tom Doan - RTS00118 MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands
by Tom Doan - RTZ00118 RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR
by Tom Doan - RTZ00117 RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable
by Tom Doan - RTS00115 MANNWHITNEY: RATS procedure to perform Mann-Whitney test for comparison of samples
by Tom Doan - RTZ00115 RATS programs to replicate Morley-Nelson-Zivot state space decomposition
by Tom Doan - RTS00114 MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests
by Tom Doan - RTS00113 MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm
by Tom Doan - RTZ00113 RATS programs to replicate Michael-Nobay-Peel ESTAR models
by Tom Doan - RTS00112 LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks
by Tom Doan - RTZ00112 RATS programs to replicate Mark-Sul(2003) panel DOLS
by Tom Doan - RTS00111 LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias
by Tom Doan - RTZ00111 RATS program to solve Lubik-Schorfheide JME 2007 DSGE model
by Tom Doan - RTS00110 LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks
by Tom Doan - RTS00109 LOGSKEWTDENSITY: RATS procedure to compute log density of skew-t distribution
by Tom Doan - RTZ00109 RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts
by Tom Doan - RTS00108 LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution
by Tom Doan - RTZ00108 RATS programs to replicate Krolzig MS-VAR's for six country models
by Tom Doan - RTS00107 LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution
by Tom Doan - RTZ00107 RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results
by Tom Doan - RTZ00105 RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility
by Tom Doan - RTZ00104 RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model
by Tom Doan - RTS00103 LIML: RATS procedure to perform limited information maximum likelihood estimation
by Tom Doan - RTS00101 KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model
by Tom Doan - RTS00100 KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test
by Tom Doan - RTZ00100 RATS program to demonstrate Inclan-Tiao test for breaks in variance
by Tom Doan - RTS00099 JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis
by Tom Doan - RTS00098 IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test
by Tom Doan - RTS00097 INVGAMMAPARMS: RATS procedure to compute parameters required for inverse gamma distribution
by Tom Doan - RTS00096 INTERPOL: RATS procedure to interpolate from one frequency to a higher one
by Tom Doan - RTS00094 ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance
by Tom Doan - RTS00093 HURST: RATS procedure to compute a Hurst exponent
by Tom Doan - RTZ00093 RATS programs to estimate multivariate stochastic volatility models
by Tom Doan - RTS00092 HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data
by Tom Doan - RTZ00092 RATS programs to replicate Hansen/Seo paper on threshold cointegration
by Tom Doan - RTZ00091 RATS programs to replicate Hansen's threshold estimation and testing results
by Tom Doan - RTS00090 HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns
by Tom Doan - RTZ00089 RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap
by Tom Doan - RTS00088 HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity
by Tom Doan - RTZ00088 RATS programs to replicate Hansen's example of threshold break in panel data
by Tom Doan - RTS00087 HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method
by Tom Doan - RTZ00087 RATS programs to replicate Hansen's examples of Andrews-Ploberger test
by Tom Doan - RTS00086 HANNARISSANEN: RATS procedure to estimate an ARIMA model using the Hannan-Rissanen algorithm
by Tom Doan - RTZ00086 RATS programs to replicate Hansen's GARCH models with time-varying t-densities
by Tom Doan - RTS00085 HALTON: RATS procedure to generate Halton sequences
by Tom Doan - RTZ00085 RATS program to demonstrate Hannan efficient estimation
by Tom Doan - RTS00084 HADRI: RATS procedure to implement Hadri test for unit roots in panel data
by Tom Doan - RTZ00084 RATS program to estimate Hamilton switching model
by Tom Doan - RTZ00083 RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model
by Tom Doan - RTS00082 GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks
by Tom Doan - RTZ00081 RATS programs to replicate results from Gregory and Hansen(1996) JOE article
by Tom Doan - RTS00080 GPH: RATS procedure to compute Geweke-Porter-Hudak estimate of fractional differencing
by Tom Doan - RTZ00080 RATS programs to replicate Gray's 1996 Regime Switching GARCH paper
by Tom Doan - RTS00079 GNEWBOLD: RATS procedure to perform Granger-Newbold forecast comparison test
by Tom Doan - RTS00078 GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)
by Tom Doan - RTS00077 GLSDETREND: RATS procedure to perform local to unity GLS detrending
by Tom Doan - RTZ00075 RATS program to demonstrate bootstrapping applied to Granger causality test
by Tom Doan - RTS00074 GAUSSHERMITE: RATS procedure to generate weights and grid points for Gauss-Hermite numerical integration
by Tom Doan - RTZ00074 RATS programs to replicate Gonzalo and Granger JBES 1995 paper
by Tom Doan - RTS00073 GARCHFORE: RATS procedure to perform univariate GARCH forecasting
by Tom Doan - RTS00072 GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution
by Tom Doan - RTZ00072 RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR
by Tom Doan - RTS00071 GAIN: RATS procedure to compute and graph the gain and phase of a pair of series
by Tom Doan - RTZ00071 RATS program to demonstrate Gibbs sampling with a linear regression
by Tom Doan - RTS00070 FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row
by Tom Doan - RTZ00070 RATS program to demonstrate contour graph
by Tom Doan - RTS00069 FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares
by Tom Doan - RTZ00069 RATS program to demonstrate univariate GARCH estimation
by Tom Doan - RTS00068 FLUX: RATS procedure to compute a general Nyblom fluctuations test
by Tom Doan - RTZ00068 RATS program to demonstrate multivariate GARCH using 2-stage DCC
by Tom Doan - RTS00067 EXACTINVERSE: RATS procedure to compute exact (limit) inverse with "infinite" components
by Tom Doan - RTZ00067 RATS program to demonstrate multivariate GARCH models
by Tom Doan - RTS00066 ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests
by Tom Doan - RTZ00066 RATS program to demonstrate importance sampling with GARCH model
by Tom Doan - RTS00065 EQNTOACF: RATS procedure to create an ACF from an ARMA equation
by Tom Doan - RTZ00065 RATS program to demonstrate Gibbs sampling with GARCH model
by Tom Doan - RTS00064 ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect
by Tom Doan - RTZ00064 RATS program to demonstrate bootstrapping with a GARCH model
by Tom Doan - RTS00063 ELFCALC: RATS procedure to compute empirical likelihood for a set of moment conditions
by Tom Doan - RTZ00063 RATS programs to replicate Gali's QJE 1992 results
by Tom Doan - RTS00062 EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals
by Tom Doan - RTZ00062 RATS programs to replicates Gali's AEA 1999 VAR results
by Tom Doan - RTS00061 EGTEST: RATS procedure to compute Engle-Granger test for Cointegration
by Tom Doan - RTZ00061 RATS program to demonstrate frequency domain deseasonalization
by Tom Doan - RTZ00060 RATS program to estimate a model with fractional differencing
by Tom Doan - RTS00059 EBA: RATS procedure to perform Extreme Bounds Analysis
by Tom Doan - RTZ00059 RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching
by Tom Doan - RTS00058 DURBINLEVINSON: RATS procedure to compute autoregressive representations using Durbin-Levinson recursion
by Tom Doan - RTZ00058 RATS programs to replicate Faust and Leeper JBES 1997 paper
by Tom Doan - RTZ00057 RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results
by Tom Doan - RTS00056 DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control
by Tom Doan - RTS00055 DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test
by Tom Doan - RTS00054 DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model
by Tom Doan - RTZ00054 RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots
by Tom Doan - RTS00053 DLMGLS: RATS procedure to perform GLS estimation with state-space model for errors
by Tom Doan - RTZ00053 RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration
by Tom Doan - RTS00052 DIVISIA: RATS procedure to compute a Divisia index
by Tom Doan - RTZ00052 RATS programs to estimate structural VAR-GARCH-M model
by Tom Doan - RTS00051 DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency
by Tom Doan - RTZ00051 RATS program to solve Erceg-Henderson-Levin model
by Tom Doan - RTS00050 DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure
by Tom Doan - RTZ00049 RATS programs to replicate Dueker(2005) JBES dynamic probit model
by Tom Doan - RTS00048 DFUNIT: RATS procedure to perform Dickey-Fuller unit root test
by Tom Doan - RTZ00048 RATS programs to replicate Dueker(1997) Markov switching GARCH models
by Tom Doan - RTS00047 DENTON: RATS procedure to distribute a series to a higher frequency using proportional Denton method
by Tom Doan - RTZ00047 RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model
by Tom Doan - RTS00046 CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix
by Tom Doan - RTS00045 CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests
by Tom Doan - RTS00044 CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation
by Tom Doan - RTZ00044 RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations
by Tom Doan - RTZ00043 RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control
by Tom Doan - RTS00042 CROSSPEC: RATS procedure to compute and graph phase and coherence
by Tom Doan - RTZ00042 RATS programs to replicate Den Haan JME(2000) correlation of comovements
by Tom Doan - RTZ00041 RATS program to demonstrate estimation of structural VAR's
by Tom Doan - RTS00040 CORRINTEGRAL: RATS procedure to compute a correlation integral for a series
by Tom Doan - RTZ00040 RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation
by Tom Doan - RTS00039 CORRADO: RATS procedure to perform Corrado non-parametric event test
by Tom Doan - RTS00038 CONDITION: RATS procedure to implement conditional forecasting
by Tom Doan - RTZ00038 RATS program to demonstrate various stability tests
by Tom Doan - RTS00037 CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular
by Tom Doan - RTZ00037 RATS program to demonstrate conditional forecasting with a VAR
by Tom Doan - RTS00036 CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series
by Tom Doan - RTS00035 CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test
by Tom Doan - RTZ00035 RATS programs to replicate CKLS(1992) estimation of interest rate models
by Tom Doan - RTS00034 CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method
by Tom Doan - RTS00033 CFEAT: RATS procedure to identify turning points and cyclical phases of a series
by Tom Doan - RTS00032 CANCORR: RATS procedure to compute canonical correlations for two sets of series
by Tom Doan - RTS00031 BRYBOSCHAN: RATS procedure to implement Bry-Boschan business cycle dating
by Tom Doan - RTZ00031 RATS program to solve Cass-Koopmans growth model
by Tom Doan - RTS00030 BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization
by Tom Doan - RTZ00030 RATS program to demonstrate Bayesian VAR estimation
by Tom Doan - RTS00029 BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects
by Tom Doan - RTZ00029 RATS programs to replicate Campbell and Ammer's JOF 1993 paper
by Tom Doan - RTS00028 BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition
by Tom Doan - RTZ00028 RATS program to estimate DSGE model
by Tom Doan - RTZ00027 RATS programs to replicate Burnside's JBES 1994 paper on asset pricing
by Tom Doan - RTS00026 BKFILTER: RATS procedure to implement band pass filter using Baxter-King method
by Tom Doan - RTS00025 BJTRANS: RATS procedure to aid in selection of preliminary transformation
by Tom Doan - RTZ00025 RATS program to demonstrate bootstrapping with a VECM
by Tom Doan - RTZ00024 RATS program to demonstrate bootstrapping with a VAR
by Tom Doan - RTZ00023 RATS program to demonstrate bootstrapping spectral density estimates
by Tom Doan - RTZ00021 RATS program to demonstrate bootstrapping with cointegration
by Tom Doan - RTZ00020 RATS program to demonstrate bootstrapping with an ARMA model
by Tom Doan - RTS00019 BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection
by Tom Doan - RTZ00019 RATS program to estimate term structure with cubic splines
by Tom Doan - RTS00018 BICORRTEST: RATS procedure to compute Hinich bi-correlations test for autocorrelation
by Tom Doan - RTZ00018 RATS program to estimate term structure using non-linear methods
by Tom Doan - RTS00017 BETAPARMS: RATS procedure to compute parameters required for beta distribution
by Tom Doan - RTZ00017 RATS programs to replicate Blanchard and Quah AER 1989
by Tom Doan - RTS00016 BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d
by Tom Doan - RTZ00016 RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions
by Tom Doan - RTS00015 BDINDTEST: RATS procedure to perform battery of independence tests
by Tom Doan - RTS00014 BAYESTST: RATS procedure to perform Bayesian Unit Root test
by Tom Doan - RTS00013 BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes
by Tom Doan - RTZ00013 RATS programs to replicate Bernanke and Mihov QJE 1998
by Tom Doan - RTS00012 BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas
by Tom Doan - RTZ00012 RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper
by Tom Doan - RTS00011 ARMASPECTRUM: RATS procedure to graph the spectral density for an input ARMA model
by Tom Doan - RTS00010 ARMADLM: RATS procedure to set up a DLM (state-space model) based upon an ARMA model
by Tom Doan - RTZ00010 RATS programs to replicate Balke-Fomby threshold cointegration
by Tom Doan - RTS00009 ARCHTEST: RATS procedure to test a series for ARCH effects
by Tom Doan - RTZ00009 RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results
by Tom Doan - RTS00008 ARAUTOLAGS: RATS procedure to compute information criteria for AR models using Yule-Walker or Burg
by Tom Doan - RTZ00008 RATS programs to replicate examples of Bai-Perron procedure
by Tom Doan - RTS00007 APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood
by Tom Doan - RTZ00007 RATS program to demonstrate estimation of an ARMAX model
by Tom Doan - RTS00006 APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test
by Tom Doan - RTS00005 AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference
by Tom Doan - RTZ00005 RATS program to demonstrate Arellano-Bond estimator for dynamic panel model
by Tom Doan - RTS00004 ADTEST: RATS procedure to perform Anderson-Darling test for normality
by Tom Doan - G00003 Kernel Density Code
by Yuriy Tchamourliyski - RTS00003 ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test
by Tom Doan - G00002 Endogenous Probit And Endogenous Sample Selection Code
by Yuriy Tchamourliyski - RTZ00002 RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009
by Tom Doan - G00001 Semi-Parametric Binary And Sample Selection Code
by Yuriy Tchamourliyski - RTS00001 ABLAGS: RATS procedure to generate Arellano-Bond set of instruments
by Tom Doan - RTZ00001 RATS program to estimate a linear regression using an adaptive kernel estimator
by Tom Doan