Details about Tom Doan
Access statistics for papers by Tom Doan.
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Shortid: pdo2
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Working Papers
1983
 Forecasting and Conditional Projection Using Realistic Prior Distributions
NBER Working Papers, National Bureau of Economic Research, Inc View citations (308)
Journal Articles
Software Items
2000
 GED: RATS module to draw from Generalized Error Distribution
Statistical Software Components, Boston College Department of Economics
Undated
 ABLAGS: RATS procedure to generate ArellanoBond set of instruments
Statistical Software Components, Boston College Department of Economics
 ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test
Statistical Software Components, Boston College Department of Economics
 ADTEST: RATS procedure to perform AndersonDarling test for normality
Statistical Software Components, Boston College Department of Economics
 AGFRACTD: RATS procedure to compute AndrewsGuggenberger estimate of fractional difference
Statistical Software Components, Boston College Department of Economics
 APBREAKTEST: RATS procedure to implement AndrewsPloberger Structural Break Test
Statistical Software Components, Boston College Department of Economics
 APGRADIENTTEST: RATS procedure to perform AndrewsPloberger Structural Break Test for GARCH/Maximum Likelihood
Statistical Software Components, Boston College Department of Economics
 ARAUTOLAGS: RATS procedure to compute information criteria for AR models using YuleWalker or Burg
Statistical Software Components, Boston College Department of Economics
 ARCHTEST: RATS procedure to test a series for ARCH effects
Statistical Software Components, Boston College Department of Economics
 ARMADLM: RATS procedure to set up a DLM (statespace model) based upon an ARMA model
Statistical Software Components, Boston College Department of Economics
 ARMASPECTRUM: RATS procedure to graph the spectral density for an input ARMA model
Statistical Software Components, Boston College Department of Economics
 BAING: RATS procedure to estimate factors in a factor model using BaiNg formulas
Statistical Software Components, Boston College Department of Economics
 BAIPERRON: RATS procedure to perform BaiPerron Test for Multiple Structural Changes
Statistical Software Components, Boston College Department of Economics
 BAYESTST: RATS procedure to perform Bayesian Unit Root test
Statistical Software Components, Boston College Department of Economics
 BDINDTEST: RATS procedure to perform battery of independence tests
Statistical Software Components, Boston College Department of Economics
 BDSTEST: RATS procedure to compute BrockDecherScheinkman test for i.i.d
Statistical Software Components, Boston College Department of Economics
 BETAPARMS: RATS procedure to compute parameters required for beta distribution
Statistical Software Components, Boston College Department of Economics
 BICORRTEST: RATS procedure to compute Hinich bicorrelations test for autocorrelation
Statistical Software Components, Boston College Department of Economics
 BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection
Statistical Software Components, Boston College Department of Economics
 BJTRANS: RATS procedure to aid in selection of preliminary transformation
Statistical Software Components, Boston College Department of Economics
 BKFILTER: RATS procedure to implement band pass filter using BaxterKing method
Statistical Software Components, Boston College Department of Economics
 BNDECOMP: RATS procedure to perform BeveridgeNelson decomposition
Statistical Software Components, Boston College Department of Economics
 BPPANELTESTS: RATS procedure to perform BreuschPagan (and related) tests for random effects
Statistical Software Components, Boston College Department of Economics
 BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with BlanchardQuah factorization
Statistical Software Components, Boston College Department of Economics
 BRYBOSCHAN: RATS procedure to implement BryBoschan business cycle dating
Statistical Software Components, Boston College Department of Economics
 CANCORR: RATS procedure to compute canonical correlations for two sets of series
Statistical Software Components, Boston College Department of Economics
 CFEAT: RATS procedure to identify turning points and cyclical phases of a series
Statistical Software Components, Boston College Department of Economics
 CFFILTER: RATS procedure to perform band pass filter using ChristianoFitzgerald method
Statistical Software Components, Boston College Department of Economics
 CHOWDENNING: RATS procedure to perform ChowDenning multiple variance ratio test
Statistical Software Components, Boston College Department of Economics
 CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series
Statistical Software Components, Boston College Department of Economics
 CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular
Statistical Software Components, Boston College Department of Economics
 CONDITION: RATS procedure to implement conditional forecasting
Statistical Software Components, Boston College Department of Economics
 CORRADO: RATS procedure to perform Corrado nonparametric event test
Statistical Software Components, Boston College Department of Economics
 CORRINTEGRAL: RATS procedure to compute a correlation integral for a series
Statistical Software Components, Boston College Department of Economics
 CROSSPEC: RATS procedure to compute and graph phase and coherence
Statistical Software Components, Boston College Department of Economics
 CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation
Statistical Software Components, Boston College Department of Economics
 CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests
Statistical Software Components, Boston College Department of Economics
 CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix
Statistical Software Components, Boston College Department of Economics
 DENTON: RATS procedure to distribute a series to a higher frequency using proportional Denton method
Statistical Software Components, Boston College Department of Economics
 DFUNIT: RATS procedure to perform DickeyFuller unit root test
Statistical Software Components, Boston College Department of Economics
 DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure
Statistical Software Components, Boston College Department of Economics
 DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency
Statistical Software Components, Boston College Department of Economics
 DIVISIA: RATS procedure to compute a Divisia index
Statistical Software Components, Boston College Department of Economics
 DLMGLS: RATS procedure to perform GLS estimation with statespace model for errors
Statistical Software Components, Boston College Department of Economics
 DLMIRF: RATS procedure to compute Impulse Response Function from a StateSpace model
Statistical Software Components, Boston College Department of Economics
 DMARIANO: RATS procedure to compute DieboldMariano Forecast Comparison Test
Statistical Software Components, Boston College Department of Economics
 DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control
Statistical Software Components, Boston College Department of Economics
 DURBINLEVINSON: RATS procedure to compute autoregressive representations using DurbinLevinson recursion
Statistical Software Components, Boston College Department of Economics
 EBA: RATS procedure to perform Extreme Bounds Analysis
Statistical Software Components, Boston College Department of Economics
 EGTEST: RATS procedure to compute EngleGranger test for Cointegration
Statistical Software Components, Boston College Department of Economics
 EGTESTRESIDS: RATS procedure to compute EngleGranger test for cointegration on 1st stage residuals
Statistical Software Components, Boston College Department of Economics
 ELFCALC: RATS procedure to compute empirical likelihood for a set of moment conditions
Statistical Software Components, Boston College Department of Economics
 ENDERSIKLOS: RATS procedure to perform EndersSiklos test for cointegration with threshold effect
Statistical Software Components, Boston College Department of Economics
 EQNTOACF: RATS procedure to create an ACF from an ARMA equation
Statistical Software Components, Boston College Department of Economics
 ERSTEST: RATS procedure to perform ElliottRothenbergStock unit root tests
Statistical Software Components, Boston College Department of Economics
 EXACTINVERSE: RATS procedure to compute exact (limit) inverse with "infinite" components
Statistical Software Components, Boston College Department of Economics
 FLUX: RATS procedure to compute a general Nyblom fluctuations test
Statistical Software Components, Boston College Department of Economics
 FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares
Statistical Software Components, Boston College Department of Economics
 FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row
Statistical Software Components, Boston College Department of Economics
 GAIN: RATS procedure to compute and graph the gain and phase of a pair of series
Statistical Software Components, Boston College Department of Economics
 GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution
Statistical Software Components, Boston College Department of Economics
 GARCHFORE: RATS procedure to perform univariate GARCH forecasting
Statistical Software Components, Boston College Department of Economics
 GAUSSHERMITE: RATS procedure to generate weights and grid points for GaussHermite numerical integration
Statistical Software Components, Boston College Department of Economics
 GLSDETREND: RATS procedure to perform local to unity GLS detrending
Statistical Software Components, Boston College Department of Economics
 GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)
Statistical Software Components, Boston College Department of Economics
 GNEWBOLD: RATS procedure to perform GrangerNewbold forecast comparison test
Statistical Software Components, Boston College Department of Economics
 GPH: RATS procedure to compute GewekePorterHudak estimate of fractional differencing
Statistical Software Components, Boston College Department of Economics
 GREGORYHANSEN: RATS procedure to implement GregoryHansen test for Cointegration with breaks
Statistical Software Components, Boston College Department of Economics
 HADRI: RATS procedure to implement Hadri test for unit roots in panel data
Statistical Software Components, Boston College Department of Economics
 HALTON: RATS procedure to generate Halton sequences
Statistical Software Components, Boston College Department of Economics
 HANNARISSANEN: RATS procedure to estimate an ARIMA model using the HannanRissanen algorithm
Statistical Software Components, Boston College Department of Economics
 HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method
Statistical Software Components, Boston College Department of Economics
 HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity
Statistical Software Components, Boston College Department of Economics
 HJBOUNDS: RATS procedure to compute HansenJagannathan bounds for a set of returns
Statistical Software Components, Boston College Department of Economics
 HTUNIT: RATS procedure to implement HarrisTzavalis unit root test for panel data
Statistical Software Components, Boston College Department of Economics
 HURST: RATS procedure to compute a Hurst exponent
Statistical Software Components, Boston College Department of Economics
 Hurst exponent estimation procedure
Rats codes
 ICSS: RATS procedure to perform InclanTiao test for breaks in variance
Statistical Software Components, Boston College Department of Economics
 INTERPOL: RATS procedure to interpolate from one frequency to a higher one
Statistical Software Components, Boston College Department of Economics
 INVGAMMAPARMS: RATS procedure to compute parameters required for inverse gamma distribution
Statistical Software Components, Boston College Department of Economics
 IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test
Statistical Software Components, Boston College Department of Economics
 JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis
Statistical Software Components, Boston College Department of Economics
 KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test
Statistical Software Components, Boston College Department of Economics
 KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model
Statistical Software Components, Boston College Department of Economics
 LIML: RATS procedure to perform limited information maximum likelihood estimation
Statistical Software Components, Boston College Department of Economics
 LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skewt distribution
Statistical Software Components, Boston College Department of Economics
 LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution
Statistical Software Components, Boston College Department of Economics
 LOGSKEWTDENSITY: RATS procedure to compute log density of skewt distribution
Statistical Software Components, Boston College Department of Economics
 LPUNIT: RATS procedure to implement LumsdainePapell unit root test with structural breaks
Statistical Software Components, Boston College Department of Economics
 LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias
Statistical Software Components, Boston College Department of Economics
 LSUNIT: RATS procedure to implement LeeStrazicich unit root tests with one or more structural breaks
Statistical Software Components, Boston College Department of Economics
 MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm
Statistical Software Components, Boston College Department of Economics
 MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests
Statistical Software Components, Boston College Department of Economics
 MANNWHITNEY: RATS procedure to perform MannWhitney test for comparison of samples
Statistical Software Components, Boston College Department of Economics
 MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands
Statistical Software Components, Boston College Department of Economics
 MCLEODLI: RATS procedure to perform a McLeodLi test for 2nd order dependence
Statistical Software Components, Boston College Department of Economics
 MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations
Statistical Software Components, Boston College Department of Economics
 MCVARDODDRAWS: RATS procedure to perform Monte Carlo draws from a VAR to generate IRF's
Statistical Software Components, Boston College Department of Economics
 MEANGROUP: RATS procedure to perform mean group estimator for panel data
Statistical Software Components, Boston College Department of Economics
 MESA: RATS procedure to compute and graph a spectrum using Maximum Entropy Method
Statistical Software Components, Boston College Department of Economics
 MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests
Statistical Software Components, Boston College Department of Economics
 MIXVAR: RATS procedure to compute mixed estimation of an equation with a Bayesian prior
Statistical Software Components, Boston College Department of Economics
 MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands
Statistical Software Components, Boston College Department of Economics
 MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation
Statistical Software Components, Boston College Department of Economics
 MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures
Statistical Software Components, Boston College Department of Economics
 MSSETUP: RATS procedure to perform Markov switching general support procedures
Statistical Software Components, Boston College Department of Economics
 MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures
Statistical Software Components, Boston College Department of Economics
 MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures
Statistical Software Components, Boston College Department of Economics
 MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis
Statistical Software Components, Boston College Department of Economics
 MVARCHTEST: RATS procedure to perform Multivariate test for ARCH
Statistical Software Components, Boston College Department of Economics
 MVBNDECOMP: RATS procedure to compute a multivariate BeveridgeNelson decomposition via VAR's
Statistical Software Components, Boston College Department of Economics
 MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting
Statistical Software Components, Boston College Department of Economics
 MVIDENT: RATS procedure to create a TiaoBox cross correlation matrix
Statistical Software Components, Boston College Department of Economics
 MVJB: RATS procedure to perform Multivariate JarqueBera normality test
Statistical Software Components, Boston College Department of Economics
 MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic
Statistical Software Components, Boston College Department of Economics
 NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates
Statistical Software Components, Boston College Department of Economics
 OLSHODRICK: RATS procedure to compute Hodrick standard errors
Statistical Software Components, Boston College Department of Economics
 PANELDOLS: RATS procedure to perform panel data group mean DOLS
Statistical Software Components, Boston College Department of Economics
 PANELFM: RATS procedure to perform panel data group mean FMOLS
Statistical Software Components, Boston College Department of Economics
 PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model
Statistical Software Components, Boston College Department of Economics
 PERRONBREAKS: RATS procedure to compute various unit root tests with breaks
Statistical Software Components, Boston College Department of Economics
 PERRONNGMTESTS: RATS procedure to compute various PerronNg "M" unit root tests
Statistical Software Components, Boston College Department of Economics
 PERRONRODRIGUEZ: RATS procedure to perform PerronRodriguez unit root test allowing for break at unknown date
Statistical Software Components, Boston College Department of Economics
 PERSIST: RATS procedure to compute sum of coefficients of a MA representation for a series
Statistical Software Components, Boston College Department of Economics
 PHILLIPSHANNAN: RATS procedure to compute PhillipsHannan Efficient estimator for multivariate regressions
Statistical Software Components, Boston College Department of Economics
 PPUNIT: RATS procedure to perform PhillipsPerron Unit Root test
Statistical Software Components, Boston College Department of Economics
 PRINFACTORS: RATS procedure to perform principal componentsbased factor analysis
Statistical Software Components, Boston College Department of Economics
 PRJCONDITIONAL: RATS procedure to compute predicted probabilities for conditional logit model
Statistical Software Components, Boston College Department of Economics
 PRJMULTINOMIAL: RATS procedure to compute predicted probabilities for multinomial logit model
Statistical Software Components, Boston College Department of Economics
 QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion
Statistical Software Components, Boston College Department of Economics
 RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals
Statistical Software Components, Boston College Department of Economics
 RATS program to calculate optimal portfolios
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstate robust estimation techniques in a linear model
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate ArellanoBond estimator for dynamic panel model
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Bayesian VAR estimation
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Gibbs sampling with GARCH model
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Gibbs sampling with a linear regression
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Hannan efficient estimation
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate InclanTiao test for breaks in variance
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Markov Switching ARCH
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Monte Carlo Impulse Responses for a NearVAR
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Shiller smoothness prior for distributed lag
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate Swamy GLS matrix weighted estimator
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate block causality tests in a VAR
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate bootstrapping applied to Granger causality test
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate bootstrapping spectral density estimates
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate bootstrapping with a GARCH model
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate bootstrapping with a VAR
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate bootstrapping with a VECM
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate bootstrapping with an ARMA model
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate bootstrapping with cointegration
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate calculation of an arranged autoregression
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate conditional forecasting with a VAR
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate contour graph
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate estimation of a stochastic volatility model
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate estimation of an ARMAX model
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate estimation of structural VAR's
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate forecasting using spectral techniques
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate frequency domain deseasonalization
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate importance sampling with GARCH model
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate lag length selection techniques in a VAR
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate multivariate GARCH models
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate multivariate GARCH using 2stage DCC
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate nonparametric regression
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate quadratic programming
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate timevarying coefficient estimation in a VAR
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate univariate GARCH estimation
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate use of neural networks
Statistical Software Components, Boston College Department of Economics
 RATS program to demonstrate various stability tests
Statistical Software Components, Boston College Department of Economics
 RATS program to estimate DSGE model
Statistical Software Components, Boston College Department of Economics
 RATS program to estimate Hamilton switching model
Statistical Software Components, Boston College Department of Economics
 RATS program to estimate a linear regression using an adaptive kernel estimator
Statistical Software Components, Boston College Department of Economics
 RATS program to estimate a model with fractional differencing
Statistical Software Components, Boston College Department of Economics
 RATS program to estimate observable index model from SargentSims(1977)
Statistical Software Components, Boston College Department of Economics
 RATS program to estimate probit model with random effects
Statistical Software Components, Boston College Department of Economics
 RATS program to estimate term structure using nonlinear methods
Statistical Software Components, Boston College Department of Economics
 RATS program to estimate term structure with cubic splines
Statistical Software Components, Boston College Department of Economics
 RATS program to solve CassKoopmans growth model
Statistical Software Components, Boston College Department of Economics
 RATS program to solve ErcegHendersonLevin model
Statistical Software Components, Boston College Department of Economics
 RATS program to solve LubikSchorfheide JME 2007 DSGE model
Statistical Software Components, Boston College Department of Economics
 RATS programs to estimate HamiltonSusmel Markov Switching ARCH model
Statistical Software Components, Boston College Department of Economics
 RATS programs to estimate multivariate stochastic volatility models
Statistical Software Components, Boston College Department of Economics
 RATS programs to estimate structural VARGARCHM model
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate BalkeFomby threshold cointegration
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Bernanke and Mihov QJE 1998
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate BjornlandLeitemo(2009) SVAR with short and longrun restrictions
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Blanchard and Quah AER 1989
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Burnside's JBES 1994 paper on asset pricing
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate CKLS(1992) estimation of interest rate models
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Campbell and Ammer's JOF 1993 paper
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Den Haan JME(2000) correlation of comovements
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Dueker(1997) Markov switching GARCH models
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Dueker(2005) JBES dynamic probit model
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate EndersSiklos(2001) JBES paper on threshold cointegration
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate FabianiMestre 2004 NAIRU model results
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Faust and Leeper JBES 1997 paper
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Filardo JBES 1994 paper with timevarying Markov switching
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Gali's QJE 1992 results
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Gonzalo and Granger JBES 1995 paper
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Gray's 1996 Regime Switching GARCH paper
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Hansen's GARCH models with timevarying tdensities
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Hansen's example of threshold break in panel data
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Hansen's examples of AndrewsPloberger test
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Hansen's threshold estimation and testing results
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Hansen/Seo paper on threshold cointegration
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Krolzig MSVAR's for six country models
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate LanneLutkepohl JMCB 2008 structural VAR with volatility shifts
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate MarkSul(2003) panel DOLS
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate MichaelNobayPeel ESTAR models
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate MorleyNelsonZivot state space decomposition
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Mountford and Uhlig JAE 2009 signconstrained VAR
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Ozbek and Ozlale state space model with timevarying coefficients
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Papell and Prodan one and two break unit root tests
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Pedroni PPP tests on panel data
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate PerronWada state space model
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Quah and Vahey core inflation estimation
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Sinclair(2009) bivariate statespace model
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Terasvirta's 1994 STAR model results
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Tsay's 1998 multivariate threshold results
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Tse's constant correlation GARCH test results
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Uhlig's VAR identification technique
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate Wright's Alternative Variance Ratio test results
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate examples of BaiPerron procedure
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate results from Gregory and Hansen(1996) JOE article
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap
Statistical Software Components, Boston College Department of Economics
 RATS programs to replicates Gali's AEA 1999 VAR results
Statistical Software Components, Boston College Department of Economics
 REGEXACTDW: RATS procedure to compute the exact significance level for the DurbinWatson
Statistical Software Components, Boston College Department of Economics
 REGHBREAK: RATS procedure to perform structural break test with bootstrapped pvalues
Statistical Software Components, Boston College Department of Economics
 REGPCSE: RATS procedure to compute panelcorrected standard error calculation
Statistical Software Components, Boston College Department of Economics
 REGRESET: RATS procedure to perform Ramsey RESET test on regression
Statistical Software Components, Boston College Department of Economics
 REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis
Statistical Software Components, Boston College Department of Economics
 REGWHITENNTEST: RATS procedure to perform White neural network test on regression
Statistical Software Components, Boston College Department of Economics
 REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression
Statistical Software Components, Boston College Department of Economics
 REGWUTEST: RATS procedure to perform Wu (or DurbinWuHausman) specification test on regression
Statistical Software Components, Boston College Department of Economics
 RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods
Statistical Software Components, Boston College Department of Economics
 ROBUSTLMTEST: RATS procedure to perform robust LM test for orthogonality of residuals and input series
Statistical Software Components, Boston College Department of Economics
 ROLLREG: RATS procedure to compute rolling regressions for least squares
Statistical Software Components, Boston College Department of Economics
 RRGQTEST: RATS procedure to compute a GoldfeldQuandt test on recursive residuals
Statistical Software Components, Boston College Department of Economics
 RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)
Statistical Software Components, Boston College Department of Economics
 RUNTEST: RATS procedure to compute a run test for a twostate series
Statistical Software Components, Boston College Department of Economics
 SHORTANDLONG: RATS procedure to compute factor covariance matrix with short and long run restrictions
Statistical Software Components, Boston College Department of Economics
 SPECFORE: RATS procedure to compute forecasts using spectral techniques
Statistical Software Components, Boston College Department of Economics
 SPECTRUM: RATS procedure to compute/graph spectral density
Statistical Software Components, Boston College Department of Economics
 SSMSPECTRUM: RATS procedure to compute multivariate spectral density of a state space model
Statistical Software Components, Boston College Department of Economics
 STABTEST: RATS procedure to perform Hansen's stability test for OLS
Statistical Software Components, Boston College Department of Economics
 STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model
Statistical Software Components, Boston College Department of Economics
 STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR
Statistical Software Components, Boston College Department of Economics
 STEPPROBIT: RATS procedure to perform backwards stepwise reduction of a probit model
Statistical Software Components, Boston College Department of Economics
 STOCKWAT: RATS procedure to perform StockWatson and DickeyFuller Unit Root Tests
Statistical Software Components, Boston College Department of Economics
 STRUCTRESIDS: RATS procedure to compute structural residuals from standard residuals
Statistical Software Components, Boston College Department of Economics
 SURGIBBSSETUP: RATS procedure to set up Gibbs sampler for SUR model
Statistical Software Components, Boston College Department of Economics
 SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set
Statistical Software Components, Boston College Department of Economics
 SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS
Statistical Software Components, Boston College Department of Economics
 SWTRENDS: RATS procedure to test cointegration rank using common trends analysis
Statistical Software Components, Boston College Department of Economics
 TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect
Statistical Software Components, Boston College Department of Economics
 THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break
Statistical Software Components, Boston College Department of Economics
 TSAYNLTEST: RATS procedure to perform Tsay test for neglected nonlinearities
Statistical Software Components, Boston College Department of Economics
 TSAYTEST: RATS procedure to perform Tsay arranged regression test for threshold autoregression (TAR)
Statistical Software Components, Boston College Department of Economics
 TSECCTEST: RATS procedure to perform Tse test for constant correlation in MVGARCH model
Statistical Software Components, Boston College Department of Economics
 UFOREERRORS: RATS procedure to compute forecast errors for a univariate model
Statistical Software Components, Boston College Department of Economics
 UHLIGFUNCS: RATS procedure to compute criteria for Uhlig signrestricted shocks
Statistical Software Components, Boston College Department of Economics
 UNIFORMPARMS: RATS procedure to compute required parameters for uniform distribution
Statistical Software Components, Boston College Department of Economics
 UNIQUEVALUES: RATS procedure to extract unique values from a series
Statistical Software Components, Boston College Department of Economics
 Unit Roots, Cointegration, VAR estimation and more
Rats codes
 VARBOOTSETUP: RATS procedure to set up a parallel system for bootstrapping a VAR
Statistical Software Components, Boston College Department of Economics
 VARCALC: RATS procedure to perform a direct calculation of a simple OLS VAR
Statistical Software Components, Boston College Department of Economics
 VARFPE: RATS procedure to compute minimum FPE representation for the equations in a VAR
Statistical Software Components, Boston College Department of Economics
 VARFROMDLM: RATS procedure to translate a state space representation to its implied VAR
Statistical Software Components, Boston College Department of Economics
 VARIMAX: RATS procedure to perform factor rotation using varimax criterion
Statistical Software Components, Boston College Department of Economics
 VARIRF: RATS procedure to organize graphs of Impulse responses for an estimated VAR
Statistical Software Components, Boston College Department of Economics
 VARIRFDELTA: RATS procedure to compute the covariance matrix of an IRF using the delta method
Statistical Software Components, Boston College Department of Economics
 VARLAGSELECT: RATS procedure to select lag length for a VAR model
Statistical Software Components, Boston College Department of Economics
 VARMADLM: RATS procedure to analyze a VARMA using statespace techniques
Statistical Software Components, Boston College Department of Economics
 VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression
Statistical Software Components, Boston College Department of Economics
 VRATIO: RATS procedure to implement variance ratio unit root test procedure
Statistical Software Components, Boston College Department of Economics
 ZIVOT: RATS procedure to perform ZivotAndrews Unit Root Test
Statistical Software Components, Boston College Department of Economics

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