RATS, RATS Handbook Handbook for Econometric

The RATS Handbook for Econometric Time Series is a veryvaluable resource for beginning RATS users as well as experiencedusers looking to learn more about time series techniques. Supporting materials can be found at: http://www.estima.com/enders/.

Walter Enders is the Lee Bidgood Chair of Economics at the University of Alabama. He received his doctorate in economics from Columbia University in New York. His research focuses on time-series econometrics with a special emphasis on the dynamic aspects of terrorism. He has published over fifty articles including those in the American Economic Review, the American Political Science Review, and the Journal of Business and Economics Statistics.

Introduction to RATS

1

(23)

Preparing the Data

2

(8)

Linear Regression

10

(2)

Additional Regression Topics

12

(1)

A Model of the U.S. Wholesale Price Index

13

(8)

Additional Exercises

21

(2)

Stationary Time-Series

23

(30)

Theoretical Background

23

(11)

Stationarity

23

(1)

Arima processes

24

(1)

Autocorrelation and partial autocorrelation functions

25

(5)

The Box-Jenkins methodology

30

(4)

RARTS Instructions and Procedures

34

(6)

BOXJENK

34

(1)

CORRELATE

35

(1)

FORECAST

36

(1)

BJIDENT.SRC

37

(1)

BJFORE.SRC

38

(1)

AIC and SBC

39

(1)

CDF

39

(1)

Sample Programs

40

(11)

A model of an AR(1) process

40

(4)

A model of an ARMA(1, 1) process

44

(3)

A model of the Wholesale Price Index

47

(4)

Additional Exercises

51

(2)

Modeling Volatility

53

(32)

Theoretical Background

54

(5)

The ARCH-M Model

59

(3)

Maximum Likelihood Estimation in RATS

62

(3)

RATS Instructions and Procedures

65

(4)

MAXIMIZE

65

(2)

FRML

67

(2)

NLPAR

69

(1)

Sample Programs

69

(14)

ARCH errors in a regression model

69

(3)

ARCH and GARCH models of the WPI

72

(6)

Estimation af an ARCH-M process

78

(5)

Additional Exercises

83

(2)

Tests for Trends and Unit Roots

85

(24)

Theoretical Background

85

(5)

Additional Issues in Unit Root Tests

90

(7)

RATS Instructions and Procedures

97

(3)

LINREG

97

(1)

ADF.SRC

97

(1)

DFUNIT.SRC

98

(1)

PPUNIT.SRC

99

(1)

Others

99

(1)

Sample Programs

100

(8)

Dickey-Fuller and Phillips-Perron tests

100

(4)

Tests for seasonal unit roots

104

(1)

Structural breaks and unit root tests

105

(3)

Additional Exercises

108

(1)

Vector Autoregression Analysis

109

(42)

Theoretical Background

109

(4)

Innovation Accounting

113

(3)

Hypothesis Testing

116

(2)

RATS Instructions and Procedures

118

(8)

Instructions to estimate a VAR

118

(3)

The impulse response functions and variance decompositions

121

(1)

Likelihood ratio tests

121

(1)

Multivariate AIC and SBC

122

(1)

Seemingly Unrelated Regressions (SUR)

123

(1)

The Sims-Bernake decomposition

124

(2)

Sample Programs

126

(23)

Hypothesis testing

126

(4)

Innovation accounting and forecasting

130

(7)

Seemingly Unrelated Regressions

137

(3)

The Sims-Bernanke decomposition

140

(9)

Additional Exercises

149

(2)

Cointegration and Error Correction

151

(52)

Theoretical Background

151

(9)

Cointegrated variables

151

(3)

Cointegration and error correction

154

(2)

Testing for cointegration: The Engle-Granger methodology

156

(4)

Illustrating the Engle-Granger Methodology

160

(2)

Sample Programs

162

(11)

The Engle-Granger method for three simulated series

162

(6)

Cointegration and the term structure

168

(5)

The Johansen Methodology

173

(4)

Using the Johansen.400 Procedure

177

(11)

Determining the rank of π

180

(4)

Testing coefficient restrictions

184

(4)

Introduction to CATS in RATS

188

(9)

Determining the rank of π

190

(2)

Testing coefficient restrictions

192

(5)

Additional Exercises

197

(2)

Statistical Tables

Empirical Cumulative Distribution of τ

199

(1)

Empirical Distribution of φ

200

(1)

Empirical Distribution of the λmax and λtrace Statistics

201

(2)

References and Additional Readings

203

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RATS, RATS Handbook Handbook for Econometric Time Series

Summary

Author Biography

Table of Contents

Supplemental Materials