RATS, RATS Handbook Handbook for Econometric Time Series

by Enders, Walter

• ISBN13: 9780471148944
• ISBN10: 0471148946
• Edition: 1st
• Format: Paperback
• Copyright: 1996-04-19
• Publisher: Wiley

Summary

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/.

Author Biography

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.

Table of Contents

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