The RATS Software Forum

The attached zip has the examples with real data from Martin, Hurn and Harris(2013), "Econometric Modelling with Time Series: Specification, Estimation and Testing", Cambridge Univ Press. (There are many other examples with simulated data, but at this point we've only done a few of those).

This is a book which covers a wide range of subjects, and includes some often quite sophisticated models taken from the literature. While the econometrics may often not be simple, in many cases, the RATS code itself is fairly straightforward, by making use of procedures like @SHORTANDLONG and @ADFAUTOSELECT. The most interesting examples are likely to be:

• mhhp342.rpf and mhhp381.rpf, which estimate the CKLS model using maximum likelihood and GMM respectively.
• mhhp528.rpf, mhhp535.rpf and mhhp537.rpf, which estimate various structural VAR's with short-and-long run constraints
• mhhp563.rpf and mhhp564.rpf, which estimate dynamic factors models, the first by maximum likelihood, and second by principal components
• mhhp744.rpf and mhhp745.rpf, which estimate univariate and bivariate STAR models respectively. The latter was posted separately at http://www.estima.com/forum/viewtopic.php?f=8&t=2126.
• mhhp798.rpf which estimates DCC and DECO GARCH models
• mhhp799.rpf which estimates an SVAR-GARCH model (that is, a model with an SVAR which is assumed to produce independent univariate GARCH components). This is covered in considerable detail as part of the ARCH, GARCH and Volatility Course.

This is the full zip of the examples and data:
The single book browser allows you to look at the code for specific examples.