درباره نرم افزار Winrats pro 8
نرم افزار تخصصی RATS که مخفف (Regression Analysis of Time Series) است یکی از پکیج های جامع نرم افزاری جهت تحلیل های سری زمانی است. این نرم افزار بیش از دو دهه است که به عنوان نرم افزار اقتصادسنجی در بسیاری از دانشگاه ها، بانک های مرکزی کشورها و دیگر سازمان های دولتی و خصوصی در سراسر جهان مورد استفاده قرار می گیرد. نسخه 8 این نرم افزار که اقتصادی ها به صورت انحصاری آن را برای مخاطبین خود فراهم کرده است نسبت به نسخه های پیشین پیشرفت های چشمگیری داشته است و ابزارهای جدیدی را برای دست یابی به متدهای نوین اقتصادسنجی به نرم افزار اضافه کرده است. تصویر زیر محیط این نرم افزار را نشان می دهد.
از طریق این لینک (+) می توانید اطلاعات دقیق تری از این نرم افزار را مشاهده کنید.
اقتصادسنجی و مدیریت داده‌ها
نرم افزار Rats هر آنچه که از یک نرم افزار اقتصادسنجی انتظار دارید را برای شما فراهم می‌کند. مدل‌های حداقل مربعات خطی و غیرخطی، ابزارهای پیش‌بینی، رگرسیون به ظاهر نامرتبط، مدل‌های ARIMA تنها بخش کوچکی از آن چیزی است که نرم افزار رتز (Winrats) در اختیار شما قرار می‌دهد. این نرم افزار علاوه بر روش‌های فوق‌الذکر، روش‌هایی مانند گشتاورهای تعمیم یافته، ناهمسانی واریانس شرطی خود توضیح، مدل‌های خانواده GARCH، مدل‌های فضا حالت و بسیاری از مدل‌های غیرخطی مانند مارکوف سویچینگ را پوشش می‌دهد. پکیج GARCH این نرم افزار، بی شک کامل ترین و بروزترین پکیج موجود در میان کلیه نرم افزارهای اقتصادسنجی است. امکانات این نرم افزار به اینجا ختم نمی‌شود. شما می توانید با تصب افزونه های مربوط به این نرم افزار به طیف گسترده ای از روش های اقتصادسنجی دسترسی داشته باشید. در زیر لیست کاملی از افزونه‌های این نرم افزار به همراه لینک دانلود آنها برای شما عزیزان قرار داده شده است. مطمئنا شما نیز با دیدن این افزونه‌ها از کارایی فوق العاده این نرم افزار شگفت زده خواهید شد.
لیست افزونه های نرم افزار Winrats
| Generates Arellano-Bond set of instruments | ablags.src |
| Performs autocorrelation analysis on a series | acf.src |
| Computes autocorrelations from partial autocorrelations | acf2pacf.src |
| Generates theoretical autocorrelations | acfmorin.src |
| Estimates a linear regression using an adaptive kernel estimator | adaptive.rpf |
| Selects optimal lag length to be used for an ADF test | adfautoselect.src |
| Replicates Aruoba, Diebold and Scotti JBES 2009 | adsjbes2009.zip |
| Anderson-Darling test for normality | adtest.src |
| Andrews-Guggenberger estimate of fractional difference | agfractd.src |
| Demonstrates use of information criteria | akaike.rpf |
| Technique for selecting a set of GMM instruments | andrews.prg |
| Andrews-Ploberger Structural Break Test | apbreaktest.src |
| Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood | apgradienttest.src |
| Demonstrates AR1 instruction | ar1.rpf |
| Computes Information Criteria for AR models using Yule-Walker or Burg | arautolags.src |
| Tests a series for ARCH effects | archtest.src |
| Demonstrates Arellano-Bond estimator for dynamic panel model | arellano.rpf |
| Frequency domain procedure for generating ARFIMA | arfsim.src |
| Demonstrates BOXJENK instruction, various procedures | arima.rpf |
| Sets up a DLM based upon an ARMA model | armadlm.src |
| Demonstrates Gibbs Sampling applied to an ARMA model | armagibbs.rpf |
| Graphs the spectral density for an input ARMA model | armaspectrum.src |
| Demonstrates estimation of an ARMAX model | armax.prg |
| Demonstrates choosing a seasonal ARIMA model using automated procedures | autobox.rpf |
| Demonstrates Bai, Lumsdaine, Stock common breaks in VAR | bai_lumsdaine_stock_restat1998.zip |
| Replicates examples of Bai-Perron procedure | bai_perron_jae2003.zip |
| Replicates Baillie and Bollerslev GARCH models with day-of-week effects | baillie_bollerslev_jbes1989.zip |
| Replicates Baillie, Bollerslev, Mikkelson FIGARCH results | bailliebw1996.zip |
| Estimates factors in a factor model using Bai-Ng formulas | baing.src |
| Bai-Perron Test for Multiple Structural Changes | baiperron.src |
| Replicates Balke-Fomby threshold cointegration | balkefombyier1997.zip |
| Demonstrates basic commands for forecasting | basicforecast.rpf |
| Introductory example – demonstrates many techniques | basics.prg |
| Bauwens-Laurent Multivariate skew-t GARCH model | bauwens_laurent_jbes2005.zip |
| Bayesian Unit Root test | bayestst.src |
| Replicates Bernanke, Boivin, Eliasz FAVAR paper | bbeqje2005.zip |
| Battery of independence tests | bdindtests.src |
| Brock-Decher-Scheinkman test for i.i.d. | bdstest.src |
| Replicates Bernanke and Mihov’s paper | bernankemihovqje1998.zip |
| Computes parameters required for beta distribution | betaparms.src |
| Computes betas for large number of stocks | betas.rpf |
| Hinich bi-correlations test for autocorrelation | bicorrtest.src |
| Bounded Influence Function Regression from Krasker, Ku, Welsch | bif.src |
| Estimates a bivariate Hodrick-Prescott filter (common cycle) | bivariatehp.rpf |
| Automated ARIMA model selection | bjautofit.src |
| Aids in selection of differencing operations | bjdiff.src |
| Estimates an ARIMA model | bjest.src |
| Demonstrates forecasting with an ARIMA model | bjfore.prg |
| Estimates and forecasts an ARIMA model | bjfore.src |
| Box-Jenkins identification tool | bjident.src |
| Replicates Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions | bjornland_leitemo_jme_2009.zip |
| Computes Theil U statistics for an ARIMA model | bjtheil.src |
| Aids in selection of preliminary transformation | bjtrans.src |
| Band pass filter using Baxter-King method | bkfilter.src |
| Replicates Blanchard and Quah’s paper | blanchardquahaer1989.zip |
| Does block bootstrap draws (not needed with RATS 7.00 or later) | blockboot.src |
| Recursive minimum unit root test | blsunit1.src |
| Rolling minimum unit root test | blsunit2.src |
| Sequential minimum unit root test | blsunit3.src |
| Beveridge-Nelson decomposition | bndecomp.src |
| Replicates Bollerslev-Mikkelson(1996) FIEGARCH models | bollerslev_mikkelson_joe1996.zip |
| Estimates term structure using non-linear methods | bonds.rpf |
| Estimates term structure with cubic splines | bondspline.rpf |
| Demonstrates bootstrapping with an ARMA model | bootarma.rpf |
| Example of bootstrapping with cointegration | bootcointegration.rpf |
| Used with MODES.SRC: bootstraps series, tests number of modes | boots.src |
| Demonstrates basic bootstrapping techniques | bootsimple.rpf |
| Demonstrates bootstrapping spectral density estimates | bootspectrum.rpf |
| Demonstrates bootstrapping with a VAR | bootvar.rpf |
| Demonstrates bootstrapping with a VECM | bootvecm.rpf |
| Demonstrates maximum likelihood estimation for a Box-Cox model | boxcox.prg |
| Does Breusch-Pagan (and related) tests for random effects | bppaneltests.src |
| Does Monte Carlo draws from a VAR with BQ factorization | bqdodraws.src |
| Bry-Boschan business cycle dating (Pagan-Harding for quarterly data) | bryboschan.src |
| Black-Scholes option pricing proceudre | bsoption.src |
| Replicates Burnside’s JBES 1994 paper on asset pricing | burnsidejbes1994.zip |
| Demonstrates estimation of a dynamic model using DSGE and DLM | cagan.rpf |
| Replicates Camacho’s JEL 2011 paper on unit root test in presence of MS | camacho_jel2011.zip |
| Replicates Campbell and Ammer’s JOF 1993 paper | campbellammerjof1993.zip |
| Computes canonical correlations for two sets of series | cancorr.src |
| Demonstrates Bayesian VAR estimation | canmodel.rpf |
| Estimates various forms of DCC GARCH models | cappiello_engle_sheppard_jfe2006.zip |
| Replicates Carstensen’s paper, demos FMOLS, stability tests | carstensenjbes2006.zip |
| Solves Cass-Koopmans growth model | casskoopmans.rpf |
| Updated CATS file for use with CATSIRFS.PRG | catsmisc.src |
| Demonstrates (bivariate) causality tests | causal.rpf |
| Identifying turning points and cyclical phases of a series | cfeat.src |
| Band pass filter using Christiano-Fitzgerald method | cffilter.src |
| Jump GARCH models with fixed and varying jump intensities | chanmaheujbes2002.zip |
| Replicates Chan and McAleer AFE 2003, STAR-STGARCH models | chanmcaleer_afe2003.zip |
| Estimates several versions of the CKLS model for interest rates | chankarolyi.rpf |
| Demonstrates Chow test with known break (separate regression form) | chow1.rpf |
| Demonstrates Chow test with known break (dummy variable form) | chow2.rpf |
| Chow-Denning multiple variance ratio test | chowdenning.src |
| Distributes a series to a higher frequency using related series | chowlin.src |
| Demonstrates Chow tests with known break | chowtest.rpf |
| Replicates CKLS(1992) estimation of interest rate models | ckls_jof1992.zip |
| Clark-McCracken forecast performance tests | clarkforetest.src |
| Decomposes a series into trend, seasonal, irregular | classicaldecomp.src |
| Computes various measures of persistence | cochran2.src |
| Computes various measures of persistence | cochrane.src |
| Phillips-Ouliaris cointegration tests | cointpo.src |
| Demonstrates cointegration tests | cointtst.rpf |
| Demonstrates conditional forecasting | condition.rpf |
| Conditional forecasting procedure | condition.src |
| Demonstrates various stability tests | constant.rpf |
| Demonstrates non-linear systems estimation (NLSYSTEM) | consumer.rpf |
| Corrado non-parametric event test | corrado.src |
| Computes a correlation integral for a series | corrintegral.src |
| Computes and graphs cross correlations of two series | crosscorr.src |
| Computes and graphs phase and coherence | crosspec.src |
| Complex series symmetrizer | cseriessymm.src |
| Demonstrates Durbin’s Cumulated Periodogram test for serial correlation | cumpdgm.rpf |
| Durbin’s Cumulated Periodogram for serial correlation | cumpdgm.src |
| Replicates Cushman and Zha JME 1997 structural near-VAR | cushman_zha_jme1997.zip |
| Computes and displays CUSUM and CUSUMQ tests | cusumtests.src |
| Demonstrates estimation of structural VAR’s | cvmodel.rpf |
| Stability tests on a covariance matrix of series | cvstabtest.src |
| Computes Whittle likelihood using complex matrices | cxlogdensity.src |
| Computes concentrated multivariate Whittle likelihood using complex matrices | cxlogdensitycv.src |
| Replicates Den Haan(2000) JME correlation of comovements | denhaan_jme_2000.zip |
| Replicates Dennis Macroeconomic Dynamics 2007 optimal control | dennismd2007.zip |
| Computes non-parametric density function | density.src |
| Distributes a series to a higher frequency using proportional Denton method | denton.src |
| Dickey-Fuller unit root test | dfunit.src |
| Replicates Diebold and Yilmaz EJ 2009 spillover calculations | dieboldyilmaz_ej2009.zip |
| Computes digamma and trigamma functions | digamma.src |
| General disaggregation (interpolation/distribution) procedure | disaggregate.src |
| Distribution from one frequency to a higher frequency | distrib.src |
| Demonstrates estimation of distributed lags | distriblag.rpf |
| Computes a Divisia index | divisia.src |
| Estimates a state-space model with a common cycle | dlmcycle.rpf |
| Demonstrates estimation of a state-space model | dlmest.prg |
| Example of Kalman smoothing in a simple model | dlmexam1.rpf |
| Example of Kalman filtering and out-of-sample forecasting in a simple model | dlmexam2.rpf |
| Example of unconditional simulation in a simple state-space model | dlmexam3.rpf |
| Example of conditional simulation in a simple state-space model | dlmexam4.rpf |
| GLS estimation with state-space model for errors | dlmgls.src |
| Impulse Reponse Function from a State-Space model | dlmirf.src |
| Example of calculation of impulse responses in a state-space model | dlmirfexample.rpf |
| Diebold-Mariano Forecast Comparison Test | dmariano.src |
| Dynamic OLS estimation of Cointegrating vectors | dols.src |
| Replicates Diebold,Rudebusch,Aruoba 2006 factor model | dra_joe_2006.zip |
| Computes state space model adjustments for optimal control | dsgecontrol.src |
| Example of (approximate) solution of a non-linear DSGE model | dsgekpr.rpf |
| Computes solution to linear rational expectations model | dsgetool.src |
| Replicates Dueker(1997) Markov switching GARCH models | dueker_jbes1997.zip |
| Replicates Dueker(2005) JBES dynamic probit model | dueker_jbes2005.zip |
| Computes Autoregression Representations using Durbin-Levinson recursion | durbinlevinson.src |
| Extreme Bounds Analysis, from Granger and Uhlig | eba.src |
| Demonstrates estimation of an vector error correction model | ect.rpf |
| Demonstrates bootstrapping with an E-GARCH model | egarchbootstrap.rpf |
| Demonstrates forecasting an E-GARCH model using random simulations | egarchsimulate.rpf |
| Computes ‘exact’ crit. values for D-F and E-G cointegration tests | egcrtval.src |
| Engle-Granger test for Cointegration | egtest.src |
| Engle-Granger test for Cointegration on 1st stage residuals | egtestresids.src |
| Model specification for Erceg-Henderson-Levin model | ehljme2000.rpf |
| Replicates Ehrmann-Ellison-Valla(2003) regime dependent impulse respones | ehrmann_ellison_valla_el2003.zip |
| Computes empirical likelihood for a set of moment conditions | elfcalc.src |
| Demonstrates estimation using EM algorithm | emexample.rpf |
| Replicates Enders-Siklos(2001) JBES paper on threshold cointegration | enders_siklos_jbes2001.zip |
| Procedure for Enders/Granger threshold unit root tests | endersgranger.src |
| Replicates Enders/Granger JBES paper, on threshold unit roots | endersgrangerjbes1998.zip |
| Enders-Siklos test for cointegration with threshold effect | enderssiklos.src |
| Creates an ACF from an ARMA equation | eqntoacf.src |
| Elliott-Rothenberg-Stock unit root tests | erstest.src |
| Computes exact (limit) inverse with “infinite” components | exactinverse.src |
| Introductory example #1 (display instruction) | ExampleOne.rpf |
| Introductory example #2 (data reading) | ExampleTwo.rpf |
| Introductory example #3 (linear regression) | ExampleThree.rpf |
| Introductory example #4 (simple forecasts) | ExampleFour.rpf |
| Introductory example #5 (linear regression/hypothesis tests) | ExampleFive.rpf |
| Introductory example #6 (non-linear regression) | ExampleSix.rpf |
| Demonstrates exponential smoothing | expsmooth1.rpf |
| Demonstrates exponential smoothing | expsmooth2.rpf |
| Replicates Fabiani-Mestre 2004 NAIRU model results | fabianimestre_ee_2004.zip |
| Replicates Faust 1998 paper on semi-structural VAR | faust_carnegie1998.zip |
| Replicates Faust and Leeper JBES 1997 paper | faustleeper_jbes1997.zip |
| Fractional Integration Filter procedure | fif.src |
| Replicates Filardo JBES 1994 paper with time-varying switching | filardojbes1994.zip |
| General Nyblom fluctuations test | flux.src |
| Estimates cointegrating vectors using Fully Modified Least Squares | fm.src |
| Estimates cointegrating vectors using Fully Modified Least Squares (older) | fmols.src |
| Factors covariance matrix with specific vector column/row | forcedfactor.src |
| Computes a wide range of fractiles | fract.src |
| Demonstrates estimation of a model with fractional differencing | fractint.rpf |
| Demonstrates frequency domain deseasonalization | freqdeseason.rpf |
| Demonstrates Fry-Pagan median target estimates for IRF | fry_pagan_jel2011.zip |
| Computes and graphs the gain and phase of a pair of series | gain.src |
| Replicates Gali’s 1999 VAR results | galiaer1999.zip |
| Replicates Gali’s 1992 QJE results | galiqje1992.zip |
| Computes parameters required for gamma distribution | gammaparms.src |
| Menu-driven GARCH estimation procedure | garch.src |
| Demonstrates rolling estimation of a GARCH model | garchbacktest.rpf |
| Demonstrates bootstrapping with a GARCH model | garchboot.rpf |
| Estimates a GARCH model with dynamic equicorrelation (DECO) | garchdeco.rpf |
| Univariate GARCH forecasting procedure | garchfore.src |
| Demonstrates fluctuations test applied to GARCH model | garchflux.rpf |
| Demonstrates Gibbs sampling with GARCH model | garchgibbs.rpf |
| Demonstrates importance sampling with GARCH model | garchimport.rpf |
| Demonstrates multivariate GARCH | garchmv.rpf |
| Demonstrates bootstrapping on a multivariate GARCH model | garchmvbootstrap.rpf |
| Demonstrates 2-step DCC estimates | garchmvdcc2.rpf |
| Demonstrates Gibbs sampling applied to a DCC GARCH model | garchmvdccgibbs.rpf |
| Demonstrates estimation of GARCH models using MAXIMIZE | garchmvmax.rpf |
| Menu-driven GARCH procedure (without non-negativity constraints) | garchn.src |
| Demonstrates univariate GARCH with nonparametric density | garchsemiparam.rpf |
| Demonstrates univariate GARCH | garchuv.rpf |
| Demonstrates univariate GARCH estimated using MAXIMIZE | garchuvmax.rpf |
| Generates weights and grid points for Gauss-Hermite numerical integration | gausshermite.src |
| Demonstrates contour graph | gcontour.rpf |
| Generates draws for a generalized error distribution | geddraw.src |
| Generate all combinations of a set of integers | gencombos.src |
| Demonstrates Gibbs sampling with a linear regression | gibbs.rpf |
| Demonstrates Gibbs sampling on dynamic probit model | gibbsprobitdynamic.rpf |
| Demonstrates Gibbs Sampling applied to a Bayesian VAR | gibbsvar.rpf |
| Uses Gibbs sampling to compute posterior distributions for a VAR | gibbsvar.src |
| Demonstrates generalized instrumental variables | giv.rpf |
| Local to unity GLS detrending routine | glsdetrend.src |
| Automated ARIMA model selection (seasonal models) | gmautofit.src |
| Granger-Newbold forecast comparison test | gnewbold.src |
| Replicates Gonzales-Rivera Nonlinear Dynamics 1998 STAR-GARCH model | gonzales-rivera_nd1998.zip |
| Replicates Gonzalo and Grangers 1995 paper | gonzalograngerjbes1995.zip |
| Geweke-Porter-Hudak estimate of fractional differencing | gph.src |
| Demonstrates bootstrapping applied to Granger causality test | grangerbootstrap.rpf |
| Demonstrates creation of a box plot | graphboxplot.rpf |
| Demonstrates graphing forecasts | graphforecast.rpf |
| Demonstrates graphing a general function | graphfunction.rpf |
| Demonstrates high-low-close graphs | graphhighlow.rpf |
| Demonstrates positioning of labels on graphs | graphlabels.rpf |
| Graphs a RECTANGULAR array of series on separate graphs | graphmatrix.src |
| Demonstrates overlay graphs | graphoverlay.rpf |
| Replicates Gray’s 1996 Regime Switching GARCH paper | grayjfe1996.zip |
| Replicates results from Gregory and Hansen(1996) JOE article | gregoryhansen_joe1996.zip |
| Gregory-Hansen test for Cointegration with breaks | gregoryhansen.src |
| Generates a series with an equally spaced grid | gridseries.src |
| Hadri test for unit roots in panel data | hadri.src |
| Replicates Hafner-Herwartz volatility impulse response functions | hafner_herwartz_jimf2006.zip |
| Generates Halton sequences | halton.src |
| Hamilton-Susmel Markov Switching ARCH model | hamilton_susmel_joe1994.zip |
| Hamilton switching model example | hamilton.rpf |
| Demonstrates Hannan efficient estimation | hannan.rpf |
| Estimates an ARIMA model using the Hannan-Rissanen algorithm | hannanrissanen.src |
| Replicates Hansen’s GARCH models with time-varying t-densities | hansen_ier1994.zip |
| Replicates Hansen’s examples of Andrews-Ploberger test | hansen_jbes_1997.zip |
| Replicates structural break test with Hansen’s fixed regressor bootstrap | hansen_joe2000.zip |
| Demonstrates GMM (IV) in linear model | hansen.rpf |
| Replicates Hansen’s threshold estimation and testing results | hansenecm1996.zip |
| Replicates Hansen/Seo paper on threshold cointegration | hansenseojoe2002.zip |
| Multivariate stochastic volatility models; Harvey, Ruiz, Shephard | harveyruizshephardrestud.zip |
| Demonstrates Hausman test (2SLS vs OLS) | hausman.rpf |
| HEGY unit-root test for quarterly data | hegy.src |
| Demonstrates various forms of weighted least squares | hetero.rpf |
| Demonstrates heteroscedastity tests | heterotest.rpf |
| Estimates tail index for a distribution using Hill’s method | hillgev.src |
| Hinich test for linearity and Gaussianity | hinichtest.src |
| Histogram procedure (modified from older HIST.SRC) | histbins.src |
| Histogram procedure, using new DENSITY command | histogram.src |
| Demonstrates historical decomposition | history.rpf |
| Histogram procedure using SCATTER for the graph | histscat.src |
| Computes Hansen-Jagannathan bounds for a set of returns | hjbounds.src |
| Demonstrates IV estimation of VAR in panel data | holtz-eakin_n_r_ecm1988.zip |
| Demonstrates use of Hodrick-Prescott filter | hpfilter.rpf |
| Hodrick-Prescott filter | hpfilter.src |
| Harris-Tzavalis unit root test for panel data | htunit.src |
| Computes a Hurst exponent | hurst.src |
| Inclan-Tiao test for breaks in variance | icss.src |
| Computes CDF for quadratic form in Normal(0,1) variables | imhof.src |
| Demonstrates computing and graphing impulse response functions | impulses.rpf |
| Demonstrates Inclan-Tiao test for breaks in variance | inclantiao.rpf |
| Demonstrates looping over graph instructions | influnem.rpf |
| Demonstrates instrumental variables estimation | instrument.rpf |
| Interpolation from one frequency to a higher one | interpol.src |
| Demonstrates intervention model | intervention.rpf |
| Computes parameters required for inverse chi-squared distribution | invchisqrparms.src |
| Computes parameters required for inverse gamma distribution | invgammaparms.src |
| Im, Pesaran and Shin panel unit root test | ipshin.src |
| Replicates Ireland’s JEDC 2004 estimation of DSGE model | irelandjedc2004.zip |
| Builds restriction matrix for ‘medium-run’ constraints in an SVAR | irfrestrict.src |
| Johansen ML Cointegration analysis | johmle.src |
| Replicates Jacquier, Polson, Rossi (1994) | jprjbes1994.zip |
| Computes a non-parametric distribution estimate (use DENSITY instead) | kernel.src |
| Flexible fits via kernel regression (use NPREG instead) | kernreg.src |
| Does Koopman’s Exact Initial KF (use DLM instead) | kfexact.src |
| Kalman filtering procedure (use DLM instead) | kfilter.src |
| Estimates Klein’s Model I | klein.rpf |
| Kolmogorov-Smirnov goodness of fit/Normality test | kolmtest.src |
| Demonstrates Gibbs sampling in a cointegrated model | koop_leon-gonzalez-strahan_er2010.zip |
| Replicates Koutmos’ MV EGARCH with spillovers | koutmos_jbfa1996.zip |
| KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test | kpss.src |
| Replicates King, Plosser, Stock, Watson AER 1991 results | kpswaer1991.zip |
| Replicates Krolzig MS-VAR’s for six country models | krolzigmsvar.zip |
| Draws from posterior density needed in stochastic volatility model | kscpostdraw.src |
| Kalman smoothing procedure. Superseded by DLM instruction | ksmooth.src |
| Example of L1 filtering (robust “HP” filter) | l1trend.zip |
| Creates table of the roots of a lag polynomial | lagpolyroots.src |
| AIC, BIC, and other lag-length selection tests | lagselec.src |
| Replicates Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts | lanne_lutkepohl_jmcb2008.zip |
| Replicates Laubach-Williams multivariate state-space model with regressors | laubach_williams_restat2003.zip |
| Replicates Lebo and Box-Steffensmeier’s DCC GARCH models | lebo_box_ajps2008.zip |
| Levin-Lin-Chu test for unit roots in panel data | levinlin.src |
| Limited information maximum likelihood estimation | liml.src |
| Creates matrices for local (level or trend) DLM | localdlm.src |
| Calculates initial guesses for component variances in a local level/trend | localdlminit.src |
| Local smoothing regression | localtrend.src |
| Function for log density of multivariate skew-t distribution | logmvskewt.src |
| Computes parameters required for log normal distribution | lognormalparms.src |
| Function for log density of skew-t distribution | logskewtdensity.src |
| Demonstrates use of lowess non-parametric fit | lowess.rpf |
| Flexible fits via lowess method (use NPREG instead) | lowess.src |
| Lumsdaine-Papell unit root test with structural breaks | lpunit.src |
| Estimates a dynamic FE model with correction for bias | lsdvc.src |
| Lee-Strazicich unit root tests with one or more structural breaks | lsunit.src |
| Least Trimmed Squares Regression method | lts.src |
| Lubik-Schorfheide JME 2007 DSGE model | lubikschorfheide_jme2007.zip |
| Computes Information Criteria for MA models using innovations algorithm | maautolags.src |
| Computes Mackinnon’s Critical values for DF and EG tests | mackinnoncv.src |
| Performs Mann-Whitney test for comparison of samples | mannwhitney.src |
| Replicates Mark-Sul(2003) panel DOLS | mark_sul_obes2003.zip |
| Functions supporting Markov Chain Models (use MSSETUP instead) | markov.src |
| Extracting/inserting information from/into rectangular arrays | matpeek.src |
| Example of use of MAXIMIZE instruction | maximize.rpf |
| Version of KERNEL.SRC required by MODES.SRC | mbkernel.src |
| Organizes tables of FEVD’s with confidence bands | mcfevdtable.src |
| Organizes graphs of IRF’s with confidence bands | mcgraphirf.src |
| Performs a McLeod-Li test for 2nd order dependence. | mcleodli.src |
| Calculates sample statistics from MCMC realizations | mcmcpostproc.src |
| Example of Monte Carlo integration (for computing value of option) | mcpriceeurope.rpf |
| Organizes error bands for IRF’s based upon MC results | mcprocessirf.src |
| Does Monte Carlo draws from a VAR to generate IRF’s | mcvardodraws.src |
| Mean group estimator for panel data | meangroup.src |
| Does Mean Excess Return plots | meplot.src |
| Computes and graphs a spectrum using Maximum Entropy Method | mesa.src |
| Implements the monthly version of the “HEGY” tests | mhegy.src |
| Replicates Michael-Nobay-Peel ESTAR models | michaelnobaypeeljpe1997.zip |
| Demonstrates logit and probit models (use DDV instruction instead) | miscprob.prg |
| Mixed estimation of a single equation | mixed.src |
| Demonstrated estimation of a simple mixture model | mixture.rpf |
| Mixed estimation of an equation with a Bayesian prior | mixvar.src |
| Replicates Morley-Nelson-Zivot state space decomposition | mnz_restat_2003.zip |
| Function returning the companion matrix for a dynamic model | modelcompanion.src |
| Function returning a lag matrix from a dynamic model | modellagmatrix.src |
| Finds critical windows and number of modes by KERNEL looping. | modes.src |
| Demonstrates Monte Carlo analysis of a test statistic | montearch.rpf |
| Demonstrates Monte Carlo Impulse Response to exogenous variable | monteexogvar.rpf |
| Demonstrates Monte Carlo Impulse Response for a structural near-VAR | montenearsvar.rpf |
| Demonstrates Monte Carlo Impulse Responses for a Near-VAR | montesur.rpf |
| Demonstrates MC for overidentified SVARs (importance sampling) | montesvar.rpf |
| Demonstrates Monte Carlo Impulse Responses for a standard VAR | montevar.rpf |
| Monte Carlo Integration of VAR Impulse Response confidence bands | montevar.src |
| Replicates Mountford and Uhlig JAE 2009 sign-constrained VAR | mountforduhligjae2009.zip |
| Markov switching procedures for EM estimation | msemsetupstd.src |
| Markov switching linear regression procedures | msregression.src |
| Markov switching general support procedures | mssetup.src |
| Markov switching linear systems regression procedures | mssysregression.src |
| Markov switching VAR setup procedures | msvarsetup.src |
| Multiple structural change analysis per Bai-Perron | multiplebreaks.src |
| Multivariate test for ARCH | mvarchtest.src |
| Multivariate Beveridge-Nelson decomposition via a VAR | mvbndecomp.src |
| Multivariate GARCH forecasting | mvgarchfore.src |
| Extracts a VECH representation from GARCH estimates | mvgarchtovech.src |
| Creates a Tiao-Box cross correlation matrix | mvident.src |
| Multivariate Jarque-Bera normality test | mvjb.src |
| Multivariate Kalman filtering, superseded by DLM command | mvkfiltr.src |
| Hosking’s Multivariate Q statistic | mvqstat.src |
| Generates dummies based upon NBER cycle dates | nbercycles.src |
| Demonstrates use of neural networks | neural.rpf |
| Demonstrates non-linear least squares | nlls.rpf |
| Demonstrates various techniques for maximum likelihood | nonlinear.rpf |
| Doornik and Hansen test for normality | normtest.src |
| Demonstrates non-parametric regression | npreg.rpf |
| Computes observable index model from Sargent-Sims(1977) | observableindex.rpf |
| Computes Hodrick standard errors | olshodrick.src |
| Demonstrates user-defined menus | olsmenu.rpf |
| Demonstrates analysis of time-series breaks in a linear regression | onebreak.rpf |
| Replicates Ozbek and Ozlale state space model with time-varying coefficients | ozbekozlale_jedc_2005.zip |
| Generates coefficients for an AR from input covariances | pacf2ar.src |
| Panel data unit root/cointegration testing procedure (Pedroni tests) | pancoint.src |
| Demonstrates basic panel data techniques | panel.rpf |
| Demonstrates Granger causality test with heterogeneous panel | panelcause.rpf |
| Panel data group mean DOLS | paneldols.src |
| Panel data group mean FMOLS | panelfm.src |
| Spatial Correlation Consistent covariance matrix from panel data | panelscc.src |
| Does analysis of up to two threshold breaks in a fixed effects panel model | panelthresh.src |
| Replicates Papell and Prodan one and two break unit root tests | papellprodan_jmcb2006.zip |
| Demonstrates estimation of polynomial distributed lags | pdl.rpf |
| Polynomial Distributed Lags regression | pdl.src |
| Polynomial Distributed Lags regression | pdlreg.src |
| Helps select a PDL model via AIC and BIC criteria | pdlselec.src |
| Replicates Pedroni JAE 2007 paper using panel cointegration | pedroni_jae2007.zip |
| Replicates Pedroni PPP tests on panel data | pedronirestat2001.zip |
| Perron unit root test allowing for one-time change in slope, level | perron.src |
| Various Perron unit root tests for series with time breaks | perron97.src |
| Compute various unit root tests with breaks | perronbreaks.src |
| Compute various Perron-Ng “M” unit root tests | perronngmtests.src |
| Perron-Rodriguez unit root test allowing for break at unknown data | perronrodriguez.src |
| Replicates Perron-Wada state space model | perronwada_jme_2009.zip |
| Sum of coefficients of a MA representation for a series | persist.src |
| Replicates Pesaran, Shin and Smith, pooled mean group panel data | pesaranshinsmithjasa.zip |
| Phillips-Hannan Efficient estimator for multivariate regressions | phillipshannan.src |
| Multiplying lag polynomial coefficients | polymult.src |
| Demonstrates calculation of optimal portfolios | portfolio.rpf |
| Phillips-Ouliaris-Hansen test for Cointegration | potest.src |
| Phillips-Ouliaris-Hansen test for Cointegration on 1st stage residuals | potestresids.src |
| Phillips-Perron Unit Root test | ppunit.src |
| Procedure for extracting principal components | princomp.src |
| Principal components-based factor analysis | prinfactors.src |
| Predicted probabilities for conditional logit model | prjconditional.src |
| Predicted probabilities for multinomial logit model | prjmultinomial.src |
| Predictions and marginal effects for Poisson count model | prjpoisson.src |
| Demonstrates logit and probit models | probit.rpf |
| More efficient alternative to built-in %PSDINIT function | psdinitcx.src |
| Graphs a Q plot against a hypothesized distribution | qplot.src |
| Demonstrates quadratic programming | qprog.rpf |
| Simple example of Q, QQ, and P Plots | qqplot.prg |
| Replicates Quah and Vahey core inflation estimation | quahvaheyej1995.zip |
| Does factor rotation using quartimax criterion | quartimax.src |
| Demonstrates sample randomization techniques | randomize.rpf |
| Random draw from a distribution approximated across grid of points | rangrid.src |
| Random draws from a mixture of Normals | ranmixture.src |
| Random draws from a truncated Normal (procedure) | rannormaltrunc.src |
| Random draws from a truncated Normal (function) | rantruncate.src |
| Updating rectangular matrices via RAS method | ras.zip |
| Regression post-processing, fancy graph of actual/fitted/resids | regactfit.src |
| Displays an analysis of variance table from most recent regression | reganova.src |
| Demonstrates estimation of a RegARIMA model (regression with ARIMA errors) | regarima.rpf |
| Displays a table of confidence intervals from most recent regression | regconfidence.src |
| Computes and graphs autocorrelations from residuals | regcorrs.src |
| Computes information criteria for most recent regression | regcrits.src |
| Computes the exact significance level for the Durbin-Watson | regexactdw.src |
| Performs structural break test with bootstrapped p-values | reghbreak.src |
| Computes partial correlations between the regressors and dep var. | regpartcorr.src |
| Panel-corrected standard error calculation | regpcse.src |
| Regression post-processing, computes recursive resids, does tests | regrecursive.src |
| Performs Ramsey RESET test on regression | regreset.src |
| Performs a test for linearity vs nonlinear in the form of smooth transition | regstrtest.src |
| Creates a TeX equation from the most recent regression | regtotex.src |
| Performs a CART (Classification and Regression Trees) analysis | regtree.src |
| Performs White neural network test on regression | regwhitenntest.src |
| Performs White heteroscedasticity test on regression | regwhitetest.src |
| Performs Wu (or Durbin-Wu-Hausman) specification test on regression | regwutest.src |
| Panel data probit model with random effects | reprobit.rpf |
| Performs a Regression Error Specification Test (RESET) | reset.src |
| Semiparametric fractional differencing parameter estimation | rgse.src |
| Riskmetrics-style time varying correlations and volatilities | riskmtrc.src |
| Computes and graphs recursive coefficient estimates | rlinreg.src |
| Demonstrates calculation of an arranged autoregression | rls.prg |
| Demonstrates robust estimation techniques in a linear model | robust.rpf |
| Robust LM test for orthogonality of residuals and input series | robustlmtest.src |
| Demonstrates a testing procedure for STAR robust to outliers | robuststar.rpf |
| Computes rolling regressions for least squares | rollreg.src |
| Computes the complex roots of an input polynomial | roots.src |
| Computes a Goldfeld-Quandt test on recursive residuals | rrgqtest.src |
| R/S Statistic (classical or Lo’s modified) | rsstatistic.src |
| Computes a run test for a two-state series | runtest.src |
| Menu-driven ARIMA identification, estimation, forecasting | sarima.src |
| Creates the matrices for the seasonal component of a DLM | seasonaldlm.src |
| Demonstrates tests for serial correlation | sctest.rpf |
| Demonstrates Shiller smoothness prior for polynomial DL | shiller.rpf |
| Demonstrates Shiller smoothness prior for polynomial DL by Gibbs sampling | shillergibbs.rpf |
| Factor covariance matrix with short and long run restrictions | shortandlong.src |
| Demonstrates use of short-and-long run constraints with a VECM | shortandlongvecm.rpf |
| Demonstrates solution of a DSGE, producing impulse responses and simulations | simplerbc.rpf |
| Replicates Sims and Zha(1999) “Error Bands for Impulse Responses” | simszhaecm1999.zip |
| Demonstrates add-factoring in a simultaneous equations model | simuladd.rpf |
| Demonstrates estimation techniques in a simultaneous equations model | simulest.rpf |
| Demonstrates forecasts for a simultaneous equations model | simulfore.rpf |
| Demonstrates calculation of multipliers in a simultaneous equations model | simulmult.rpf |
| Demonstrates forecast statistics in a simultaneous equations model | simultheil.rpf |
| Replicates Sinclair(2009) bivariate state-space model | sinclairjmcb2009.zip |
| Replicates Skalin and Terasvirta(1999) STAR models and causality tests | skalin_terasvirta_jae1999.zip |
| Calculates spectral density matrix at zero (long-run covariance) | specdens.src |
| Demonstrates forecasting using spectral techniques | specfore.rpf |
| Forecasting using spectral techniques | specfore.src |
| Computes theoretical ARMA spectrum | specth.src |
| Demonstrates estimation of a spectral density | spectrum.rpf |
| Computes/graphs spectral density | spectrum.src |
| Demonstrates multiple graphs per page | spgraph.rpf |
| Produces an NxN matrix of SCATTER plots | splom.src |
| Computes various “Schmidt-Phillips” tests (TAU) for a unit roots | spunit.src |
| Multivariate spectral density of a state space model | ssmspectrum.src |
| Computes posterior distributions for a VAR with prior on steady state | ssvar.src |
| Perfoms Hansen’s stability test for OLS | stabtest.src |
| Performs a standard battery of specification tests for a state space model | stampdiags.src |
| Test for linearity vs. LSTAR or ESTAR | startest.src |
| Backwards stepwise reduction of a probit model | stepprobit.src |
| Stock-Watson and Dickey-Fuller Unit Root Tests | stockwat.src |
| Computes structural residuals from standard residuals | structresids.src |
| Demonstrates estimation of a SUR model | sur.rpf |
| Seasonal Unit Root Testing | surgat.src |
| Sets up Gibbs sampler for SUR model | surgibbssetup.src |
| Demonstrates estimation of a stochastic volatility model | sv.rpf |
| Procedure for estimating the parameters for a structural VAR | svar.src |
| Demonstrates GLS matrix weighted estimator for a panel data set | swamy.rpf |
| Computes a GLS matrix weighted estimator for a panel data set | swamy.src |
| Demonstrates Markov Switching ARCH | swarch.rpf |
| Estimates cointegrating vectors using dynamic OLS | swdols.src |
| ML estimate of switch point in Goldfeld-Quandt model | switch.src |
| Tests cointegration rank using common trends analysis | swtrends.src |
| Estimates a threshold autoregression, tests for threshold effect | tar.src |
| Demonstrates tests for and estimation of a STAR model | tarmodels.rpf |
| Replicates Terasvirta’s 1994 STAR model results | terasvirtajasa1994.zip |
| Hansen’s Test for Threshold Break | threshtest.src |
| Provides a procedure for doing table lookups | tlookup.src |
| Demonstrates tobit and other limited dependent variable techniques | tobit.rpf |
| Triples test for asymmetry | triples.src |
| Replicates Tsay’s 1998 multivariate threshold results | tsayjasa1998.zip |
| Tsay test for neglected non-linearities | tsaynltest.src |
| Tsay arranged regression test for threshold autoregression (TAR) | tsaytest.src |
| Tse test for constant correlation in MV-GARCH model | tsecctest.src |
| Replicates Tse’s constant correlation GARCH test results | tsejoe2000.zip |
| Time-varying VAR setup routine | tvarset.src |
| Demonstrates time-varying coefficient estimation in a VAR | tvarying.rpf |
| Forecast errors for a univariate model | uforeerrors.src |
| Computes criteria for Uhlig sign-restricted shocks | uhligfuncs.src |
| Replicates Uhlig’s VAR identification technique | uhligjme2005.zip |
| Computes required parameters for uniform distribution | uniformparms.src |
| Demonstrates probit/logit models | union.rpf |
| Extracts unique values from a series | uniquevalues.src |
| Demonstrates various unit root tests | unitroot.rpf |
| One of several variations on D-F/P-P unit root tests | unitroot.src |
| Demonstrates various unit root tests allowing for breaks | unitrootbreak.rpf |
| Augmented Dickey-Fuller unit root tests, with AIC and BIC searches | uradf.src |
| Does automated classification of series by unit root properties | urauto.src |
| Sargan-Bhargava unit root test | ursb.src |
| One of several variations on D-F unit root tests | urtt.src |
| One of several variations on P-P unit root tests | urttopp.src |
| Sophisticated menu-driven procedure for working with VARs | var.src |
| Sets up a parallel system for bootstrapping a VAR | varbootsetup.src |
| Does a direct calculation of a simple OLS VAR | varcalc.src |
| Demonstrates block causality tests in a VAR | varcause.rpf |
| Minimum FPE representation for the equations in a VAR | varfpe.src |
| Computes a state space representation to its implied VAR | varfromdlm.src |
| Does factor rotation using varimax criterion | varimax.src |
| Organizes graphs of Impulse responses for an estimated VAR | varirf.src |
| Computes the covariance matrix of an IRF using the delta method | varirfdelta.src |
| Demonstrates lag length selection techniques in a VAR | varlag.rpf |
| Computes the sums of the VAR lag coefficients. | varlagmd.src |
| Selects lag length for a VAR model | varlagselect.src |
| Routines for analyzing a VARMA using DLM | varmadlm.src |
| Multivariate spectral density of a Vector Autoregression | varspectrum.src |
| Demonstrates a Nyblom fluctuations test applied to a VAR | varstability.rpf |
| Procedure for computing IRFs and FEVD for structural VARs | vma.src |
| Variance ratio unit root test procedure | vratio.src |
| Replicates Watson’s measure of fit results, demonstrates DGSE | watsonjpe1993.zip |
| Heteroscedasticity-robust serial correlation test | westchotest.src |
| Replicates West and Cho(1995) analysis of GARCH models | west_cho_joe1995.zip |
| Computes fractiles of a set of sample values with weights | wfractil.src |
| Implements White’s 1980 test for heteroscedasticity | white.src |
| Implements Whittle test for independence of state sequences | whittletest.src |
| Replicates Willinger, Taqqu, Teverovsky(1999) | willingertaqteverfs1999.zip |
| Replicates Wright’s Alternative Variance Ratio test results | wrightjbes2000.zip |
| Wu specification test on instrumental variables regression | wutest.src |
| Computes Information Criteria for AR models using Yule-Walker | yulelags.src |
| Estimates a VAR on stationary data using Yule-Walker Equations | yulevar.src |
| Zivot-Andrews Unit Root Test | zivot.src |
.
دانلود نرم افزار رتس (WINRATS pro 8):
دانلود نرم افزار کرک شده WINRATS pro 8
پسورد: economya.ir
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