CATS (Cointegration Analysis of Time Series) is a set of cointegration analysis procedures written by Jonathan G. Dennis, Katarina Juselius, Sören Johansen and Henrik Hansen of the University of Copenhagen for use with our RATS software.

CATS provides a wide variety of tools for analyzing your data and choosing and testing a cointegration model. The program is almost completely menu- and dialog-driven. You begin by running a short RATS program to define your data and load the CATS procedure. This adds several CATS menus to the RATS menu bar, and you perform your analysis by selecting operations from these menus. CATS will prompt you for any needed input. See CATS 2: A Closer Look for screen shots showing some of the menu operations.

See CATS 2.0 for more details on CATS 2.0.

What's Included?

The CATS 2.0 package includes the CATS procedure on CD and a completely revised 200-page manual describing the econometrics of the cointegrated VAR model and how to interpret the output. All features of the program are illustrated by a worked example. The manual also includes a technical appendix describing the mathematics of CATS. Sample data and set-up files for the illustrative examples are also included.

Requires RATS 6.2 or Later

Note that you must have a copy of the RATS software in order to use CATS. CATS 2.0 will work with Version 6.2 or later of RATS.

The Cointegrated VAR Model and Accompanying Handbook

CATS 2.0 was developed in conjunction with the creation of the book The Cointegrated VAR Model by Katarina Juselius. Although the book is certainly not required to use CATS, we think anyone interested in cointegration analysis, and particularly anyone using CATS to do cointegration analysis, will find it extremely helpful.

A PDF "Handbook" to accompany the book is now available as part of a freely downloadable zip file. The handbook describes how to use CATS 2.0 to reproduce the results from the textbook. This zip files includes the example programs and data file with the PDF book describing the steps taking and discussing the results.