RATS, an abbreviation of Regression Analysis of Time Series, is a

statistical package Statistical software are specialized computer programs for analysis in statistics and econometrics. Open-source * ADaMSoft – a generalized statistical software with data mining algorithms and methods for data management * ADMB – a softwa ...

for

time series In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. E ...

analysis and

econometrics Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8� ...

. RATS is developed and sold by Estima, Inc., located in

Evanston, IL Evanston ( ) is a city, suburb of Chicago. Located in Cook County, Illinois, United States, it is situated on the North Shore along Lake Michigan. Evanston is north of Downtown Chicago, bordered by Chicago to the south, Skokie to the west, Wilm ...

History

The forerunner of RATS was a FORTRAN program called SPECTRE, written by economist Christopher A. Sims. SPECTRE was designed to overcome some limitations of existing software that affected Sims' research in the 1970s, by providing spectral analysis and also the ability to run long unrestricted distributed lags. The program was then expanded by Tom Doan, then of the

Federal Reserve Bank of Minneapolis Federal or foederal (archaic) may refer to: Politics General *Federal monarchy, a federation of monarchies *Federation, or ''Federal state'' (federal system), a type of government characterized by both a central (federal) government and states or ...

, who added

ARIMA Arima, officially The Royal Chartered Borough of Arima is the easternmost and second largest in area of the three boroughs of Trinidad and Tobago. It is geographically adjacent to Sangre Grande and Arouca at the south central foothills of ...

and VAR capabilities and went on to found the consulting firm that owns and distributes RATS software. In its early incarnations, RATS was designed primarily for

time series analysis In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. ...

, but as it evolved, it acquired other capabilities. With the advent of personal computers in 1984, RATS went from being a specialty

mainframe A mainframe computer, informally called a mainframe or big iron, is a computer used primarily by large organizations for critical applications like bulk data processing for tasks such as censuses, industry and consumer statistics, enterpris ...

program to an

package sold to a much broader market.

Features

RATS is a powerful program, which can perform a range of econometric and statistical operations. The following is a list of the major procedures in econometrics and time series analysis that can be implemented in RATS. All these methods can be used in order to forecast, as well as to conduct data analysis. In addition, RATS can handle cross-sectional and panel data: *

Linear regression In statistics, linear regression is a linear approach for modelling the relationship between a scalar response and one or more explanatory variables (also known as dependent and independent variables). The case of one explanatory variable is ...

, including stepwise. * Regressions with heteroscedasticity and serial-correlation correction. *

Non-linear least squares Non-linear least squares is the form of least squares analysis used to fit a set of ''m'' observations with a model that is non-linear in ''n'' unknown parameters (''m'' ≥ ''n''). It is used in some forms of nonlinear regression. The ...

. * Two-stage least squares, three-stage least squares, and seemingly unrelated regressions. * Non-linear systems estimation. * Generalized Method of Moments. *

Maximum likelihood estimation In statistics, maximum likelihood estimation (MLE) is a method of estimating the parameters of an assumed probability distribution, given some observed data. This is achieved by maximizing a likelihood function so that, under the assumed stati ...

. * Simultaneous equation systems, large econometric models. *

(autoregressive, integrated moving average) and transfer function models. * Spectral analysis. *

Kalman filter For statistics and control theory, Kalman filtering, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, including statistical noise and other inaccuracies, and produces estima ...

and State Space models. *

Neural network A neural network is a network or neural circuit, circuit of biological neurons, or, in a modern sense, an artificial neural network, composed of artificial neurons or nodes. Thus, a neural network is either a biological neural network, made up ...

s. * Regressions with discrete dependent variables, such as logistic regressions. *

ARCH An arch is a vertical curved structure that spans an elevated space and may or may not support the weight above it, or in case of a horizontal arch like an arch dam, the hydrostatic pressure against it. Arches may be synonymous with vau ...

and

GARCH In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance of the current error term or innovation as a function of the actual sizes of the previous time ...

models. *

Vector autoregression Vector autoregression (VAR) is a statistical model used to capture the relationship between multiple quantities as they change over time. VAR is a type of stochastic process model. VAR models generalize the single-variable (univariate) autoregre ...

s. RATS can read data from a variety of file formats and database sources, including Excel files, text files, Stata files, and most databases that support SQL and ODBC. It can handle virtually any data frequency, including daily, weekly, intra-day, and panel data. RATS has extensive graphics capabilities. It can generate high-resolution time series graphs, high-resolution X-Y scatter plots, dual-scale graphs, and can export graphs to many formats, including PostScript and Windows Metafile.

Mode of operation

RATS can be run interactively, or in batch mode. In the interactive mode, the user can run existing programs, or perform new tasks either by using menu-driven "wizards" or by typing in commands directly (or a combination of both approaches). The menu-driven wizards automatically generate the corresponding commands, allowing users to interactively construct complete programs that can be saved and re-run later. New users often prefer the interactive mode, while experienced users will often prefer to run batch jobs. After an interactive session, the code can be saved, and converted to a batch format. One advantage of RATS, as opposed to automated forecasting software, is that it is an actual programming language, which enables the user to design custom models, and change specifications. Recent versions have added report-generation tools designed to facilitate accurate exporting of results for use in papers and other documents.

References

External links

Estima

RATS Discussion Forum
{{Statistical software Econometrics software Regression and curve fitting software Time series software Proprietary commercial software for Linux

History

Features

Mode of operation

See also

References

Further reading

External links