| File Name | Description |
| ACF.SRC | ACF performs an autocorrelation analysis on a series. This is a simpler routine than the related BJIDENT and REGCORRS procedures. |
| By: Estima, 7/14/2005. | |
| Version: 6 or later. Reference: |
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| ACF2PACF.SRC | This computes a series of partial autocorrelations from a series of autocorrelations. |
| By: Estima, 8/3/2004. | |
| Version: 6 or later. Reference: |
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| ACFMORIN.SRC | Takes as input a set of AR and MA coefficients, and generates the corresponding theoretical autocorrelations. Updated November 10, 1997, it can now produce autocovariances as well, and allows skipping beginning and ending items in the input vector. (Note: This procedure file was renamed from ACF.SRC to ACFMORIN.SRC in July, 2005 to avoid confusion with a newer ACF.SRC written by Estima and included with RATS starting with Version 6.10) |
| By: Norman Morin, 7/6/2005. | |
| Version: 4 or later. Reference: McLeod | |
| ARFSIM.SRC | Procedure for generating true simulations from ARFIMA(0,d,0) using the Davies and Harte Method. Written by Rob Schoen. You can download the Zipped file ARFSIM.ZIP which includes the ARFIMA simulation procedure, a required Gamma function procedure, and a short example progra, or download the individual text files: ARFSIM.SRC, XGAMMA.SRC, and ARFSIM.PRG (example program). |
| By: Rob Schoen, 1/10/1997. | |
| Version: 4 or later. Reference: Davies; Harte | |
| ARMADLM.SRC | Contains the procedure ARMADLMSetup, which simplifies the process of estimating ARMA models via the DLM instruction. The procedure takes an ARMA equation you supply and sets up appropriate "A" and "SW" matrices, which you can then use in a subsequent DLM instruction. |
| By: Estima, 8/3/2004. | |
| Version: 5 or later. Reference: Jones | |
| ARMASPECTRUM.SRC | This produces a graph of the spectral density for an input ARMA model, where the model is in the form of an equation. (Renamed and revised from the older ARMASPEC.SRC file). |
| By: Estima, 7/14/2005. | |
| Version: 5 or later. Reference: |
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| BJAUTOFIT.SRC | BJAutofit chooses the minimum AICC or BIC model for the dependent variable. It uses maximum likelihood estimation to ensure that the estimates are done over a consistent time interval. |
| By: Estima, 7/14/2005. | |
| Version: 6.1 or later. Reference: |
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| BJEST.SRC | Updated version of BJEST procedure included with RATS (for estimating ARIMA models). This version features more options and improved graphics. |
| By: Estima, 7/14/2005. | |
| Version: 6 or later. Reference: n/a | |
| BJFORE.SRC | Estimates and forecasts an ARIMA model |
| By: Estima, 7/14/2005. | |
| Version: 6 or later. Reference: n/a | |
| BJIDENT.SRC | Computes and graphs autocorrelations and partial autocorrelations of a series and its differences to aid in choosing an ARIMA model |
| By: Estima, 3/30/2007. | |
| Version: 6.35 or later. Reference: n/a | |
| BJTHEIL.SRC | This computes Theil U statistics for a Box-Jenkins ARIMA model. |
| By: Estima, 7/25/2005. | |
| Version: 6 or later. Reference: |
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| BJTRANS.SRC | This does offset graphs of the levels, square root and log of an input series to help determine which preliminary transformation is appropriate. |
| By: Estima, 7/23/2005. | |
| Version: 4 or later. Reference: n/a | |
| CROSSCORR.SRC | CrossCorr computes and graphs cross correlations of two series, presenting the information as a 2x2 matrix of graphs, with the autocorrelations of the two series, lag and lead cross correlations in separate graphs. (File was renamed from CROSSCOR.SRC in July, 2005) |
| By: Estima, 7/14/2005. | |
| Version: 6 or later. Reference: n/a | |
| EQNTOACF.SRC | Creates from the ARMA model given by an equation the theoretical autocovariance function |
| By: Estima, 7/16/2004. | |
| Version: 5.1 or later. Reference: Brockwell;Davis | |
| PERSIST.SRC | Uses frequency domain techniques to estimate the sum of the coefficients of the moving average representation for a series. |
| By: Estima, 7/25/2005. | |
| Version: 5 or later. Reference: |
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| REGCORRS.SRC | Computes and graphs autocorrelations, displaying also the Q statistic, AIC and SBC criteria for the residuals from the last regression or ARIMA estimation. |
| By: Estima, 7/14/2005. | |
| Version: 5.1 or later. Reference: n/a | |
| RGSE.PRG | Exmaple program using the RGSE.SRC procedure implementing Robinson's Gaussian semiparametric estimator for estimating the fractional differencing parameter. You can also download the PK-Zipped file RGSE.ZIP which includes the procedure and program files. |
| By: Rob Schoen, 3/14/2007. | |
| Version: 4 or later. Reference: |
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| RGSE.SRC | Procedure which uses Robinson's Gaussian semiparametric estimator for estimating the fractional differencing parameter. In addition to the procedure file (RGSE.SRC), you can download a short example program: RGSE.PRG. |
| By: Rob Schoen, Estima, 3/6/2007. | |
| Version: 6 or later. Reference: Robinson | |
| SARIMA.SRC | This is a menu-driven procedure for identifying, estimating, and forecasting ARIMA models. Basically, this combines the functions of the BJIDENT and BJFORE procs included with RATS in a single, easy to use procedure. December 1998 update provides many more options, including support for non-consecutive lag lists. |
| By: Norman Morin, 7/19/2004. | |
| Version: 4 or later. Reference: n/a | |
| SPECTH.SRC | Takes a vector of AR and MA terms and calculates the resulting theoretical spectrum (Note: requires the ACF.SRC procedure). |
| By: Norman Morin, 10/10/1997. | |
| Version: 4 or later. Reference: Granger; Newbold; Hamilton | |
| XGAMMA.SRC | Gamma function required by ARFSIM.SRC. |
| By: Rob Schoen, 1/10/1997. | |
| Version: 4 or later. Reference: n/a | |
| YULELAGS.SRC | YuleLags computes an information criterion for various lags of AR processes using the Yule-Walker estimates based upon the sample covariances. The Yule-Walker algorithm is particularly good in this setting, because all the sums of squares can be derived from a single matrix operation. |
| By: Estima, 7/14/2005. | |
| Version: 6.1 or later. Reference: |
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