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关 键 词：CATS培训班
行 业：IT 软件 通讯软件
发布时间：2021-02-08
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Other Features
These features carry over from Version 1.0:
"Batch" tests for long-run exclusion, weak exogeneity, and stationarity on all model variables (now available from the cats menu). Also includes a test for unit vectors in alpha, which corresponds to testing if the cumulated disturbances of any of the variables do not enter the common trends.
Support for partial systems, models with structural breaks, and various forms of dummy variables.
Multivariate and univariate tests of the estimated residuals.
Recursive estimation for assessing constancy of the estimated model parameters, including tests for constancy of the estimated eigenvalues, the cointegrating space, the log-likelihood function, the parameters of an identified system, and the adequacy of one-step-ahead predictions.
Options for testing hypothesis on the long-run relations in Beta as well as on the adjustment coefficients in Alpha.
Choice of normalization for each cointegrating vector (CATS 2 simplifies this by suggesting default choices).
Estimation of the parameters of the moving average model, e.g. the long-run impact matrix C and the loadings to the common trends (with asymptotic t-values).
A large variety of preset graphics illustrating various key aspects of the estimated model.
CATS提供了各种各样的工具来分析数据、选择和检验协整模型。该程序几乎完全由菜单和对话框驱动。首先运行一个RATS程序来定义数据并加载CATS进程。这会将多个CATS菜单添加到RATS中，您可以通过从这些菜单中选择操作来执行分析。CATS会提示您输入任何需要的信息。
CATS包含些什么？
CATS 2.0软件包包括CATS程序和一个完整修订的200页手册，描述协整VAR模型的计量经济学以及解释如何输出。程序的所有特性都通过一个工作示例进行了说明。该手册还包括一个描述CATS的数学技术附录。还包括了示例数据和安装文件。
需要RATS 6.2或更高版本
请注意，您必须有RATS软件后才能使用CATS。CATS 2.0将与RATS 6.2或更高版本一起工作。
Overview
CATS (Cointegration Analysis of Time Series) is a set of cointegration analysis procedures written by Jonathan G. Dennis, Katarina Juselius, Sören Johansen and Henrik Hansen of the University of Copenhagen for use with our RATS software.
We also offer for sale the course materials from previously completed courses. Each set of course materials includes the PDF workbook developed for the course, as well as the example programs and procedures used in the course. These are delivered via email or on CD.
New Econometrics Features
Bartlett small-sample correction of the tests for the cointegrating rank and hypotheses on Beta.
A new "CATSmining" automated model-selection procedure.
Estimation and hypothesis testing of the I(2) model, including testing hypotheses on the multi-cointegrating relations and the I(1) relations among the system variables
Estimation of structural moving average models.
System reduction tests for lag length determination.
Missing observations in data allowed.
Updated recursive estimation routine includes new tests for eigenvalue fluctuation, constancy of the cointegrating space and the log-likelihood function.
Allows for backwards recursion for investigating parameter constancy over the beginning of the sample.
For most model specifications, CATS now reports the correct critical values and p-values for the rank test. For other models, you can simulate the critical values using a built-in procedure.
Includes a procedure for estimation and identification of structural moving average models.
科学软件网不定期举办各类公益培训和讲座，让您有更多机会免费学习和熟悉软件。
