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時系列分析ソフトウェア
RATS |
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1. What Is RATS?
RATS is a comprehensive time series analysis and econometrics software package, suitable for a wide range of tasks. Here are some of the things you can do with RATS:
* Manage data sets and do a variety of data transformations.
* Estimate many kinds of regression models, including ordinary, weighted, and generalized least squares, seemingly unrelated regressions (SUR), non-linear least squares, non-linear systems, generalized method of moments, and maximum-likelihood (including ARCH, GARCH and related models).
* Perform virtually any time series technique in use, including ARIMA models, transfer function and intervention models, vector autoregressions (VAR's), and spectral analysis.
* Generate forecasts and run simulations.
* Create, save, print, and export high-quality time series graphs and scatter plots.
List of Features
Here's a more detailed list of the features available in RATS:
Estimation Techniques
* Multiple regressions, including stepwise
* Regressions with autoregressive errors
* Regressions with heteroscedasticity correction
* Seemingly unrelated regressions and three-stage least squares
* Non-linear least squares
* Two-stage least squares for linear, non-linear, and autocorrelated models
* Maximum likelihood estimation, supporting a wide variety of problems including ARCH, GARCH and related models. Supports multivariate likelihood functions, and offers a simplex estimation method for non-differentiable functions
* Non-linear systems estimation
* Generalized Method of Moments
* Built-in hypothesis testing instructions
* Logit and probit
* Kalman filter
* Consistent covariance matrices, including "White" and "Newey-West"
Time Series Procedures
* ARIMA models including multiplicative seasonal models (supports arbitrary lag structures)
* Vector autoregressions
* Impulse responses
* Variance decompositions
* Transfer functions
* Intervention models
* Spectral analysis
Forecasting
* Time series models
* Regression models
* Exponential smoothing
* Simultaneous equation models (supports unlimited number of equations)
* Simulations with random or user-supplied shocks
* Forecast performance statistics
Graphics
* High-quality time series graphs and X-Y scatter plots
* Many options, including dual-scale graphs and multiple graphs per page
* PostScript support
* Exports graphs to PostScript, HPGL, PIC, Windows Metafile, and Macintosh PICT
Data Entry
* Reads and writes ASCII, DIF, PRN, DBF and binary files
* Reads and writes Lotus Worksheet (including WK3) and Excel XLS spreadsheet files
* Supports our own RATS data file format, which is fast and easy, supports all frequencies, and allows mixing of frequencies on a single file
* RATS format now portable across DOS, Windows, Macintosh, and UNIX platforms
* On-screen data editor
* Menu-driven RATSDATA utility program for maintaining, graphing, importing, and exporting data
* Can handle virtually any data frequency, including daily, weekly, intra-day, and panel data
* Easily converts among different data frequencies
Data Transformations
* Flexible transformations with algebraic formulas
* Easy to create trend series, seasonal, and time period dummy variables
* Specialized differencing and filter operations
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