RATS Version 5.0 Product Information

The release of Version 5 marks the most significant upgrade to the program in eight years!

Below, we briefly list some of the highlights of this new release. For more details, please see the September 2000 edition of the RATSletter.

You can order new copies of Version 5 or updates from earlier versions via the web using our On-line Order Form. See Placing an Order for information on order by phone, fax, or e-mail.

For general information on RATS, including copies of order forms in Adobe PDF format, see our RATS Information page, and please feel free to contact Estima if you have any questions.

New Instructions
RATS Version 5 offers five new instructions:

• CVMODEL estimates structural VAR’s.
• ECT adds error correction effects to a VAR.
• DLM works with state space models, employing Kalman filtering and smoothing.
• PFORM creates panel series from other sources
• PREGRESS performs fixed and random effects estimation.
• DENSITY computes empirical density functions.

Non-Linear Estimation
Improvements include:

• the ability to use arrays as non-linear parameters.
• a new PARMSET variable type that makes it easy to combine several sets of non-linear parameters, allowing models to be created in pieces and combined only when estimated.
• the ability to impose equality and inequality constraints.
• a new "genetic" estimation method which allows a much broader search of the parameter space.
• the ability to define vectors of formulas, including the option of creating them inside a loop.

Vector Autoregressions and Systems of Equations
In addition to the new CVMODEL and ECT instructions, several "convenience" features have been added. For example, it is now much easier to save VAR residuals, forecasts, and impulses responses, using the new "RESULTS" option. Also, the SYSTEM instruction now includes a MODEL option that allows you to define a VAR as a model, which makes setting up instructions like IMPULSE and FORECAST much easier.

Probability and Random Numbers
New functions have been added for computing probability distributions and their inverses, as well as factorials and binomial coefficients. Additional documentation covers techniques like Gibbs sampling and approximate randomization in detail.

Revised Documentation
The RATS documentation has been reformatted into two standard 7"x9" books, and will be included in electronic form (Adobe PDF files) with each copy of RATS. The manual features more examples, more technical details, and offers expanded/new coverage of many topics, including Structural (identified, Bernanke-Sims) VAR’s, Blanchard-Quah decomposition, ARCH and GARCH models, hazard models, state-space models, simulations and bootstrapping, and non-linear estimation.

Changes to Existing Instructions
See the RATS 5 Instruction Details page for a detailed instruction-by-instruction listing of new options, features, and other improvements included in Version 5.