2.0 is a major update to CATS that introduces significant new econometrics
capabilities, a re-designed and expanded user interface, and a new,
Manual. SeeCATS 2: A Closer
Lookfor screen shots showing
some of the menu operations.
small-sample correction of the tests for the cointegrating rank and hypotheses
new "CATSmining" automated model-selection procedure.
and hypothesis testing of the I(2) model, including testing hypotheses on the
multi-cointegrating relations and the I(1) relations among the system variables
of structural moving average models.
reduction tests for lag length determination.
observations in data allowed.
recursive estimation routine includes new tests for eigenvalue fluctuation,
constancy of the cointegrating space and the log-likelihood function.
for backwards recursion for investigating parameter constancy over the beginning
of the sample.
most model specifications, CATS now reports the correct critical values and
p-values for the rank test. For other models, you can simulate the critical
values using a built-in procedure.
a procedure for estimation and identification of structural moving average
user interface, with separate menus for various categories of operations,
including I(1) analysis, I(2) analysis, graphics, and automated tests.
model settings, including the deterministic terms and lag structure, are
menu-controlled, so you can now change the underlying VAR model without quitting
and re-starting CATS.
procedure settings, such as maximum number of iterations and convergence
criteria for the switching algorithms, screen output format, and more, can be
set via a "Preferences" dialog box.
estimated model can now be exported as a RATS "MODEL" making it much easier to
compute forecasts and impulse responses.
graphs created by CATS can be customized.
can be exported in tex or csv formats.
can be saved and re-loaded, making it easier to replicate analyses or continue
your work at a later time.
offers the option of running in a true batch mode that does not require user
interaction to generate basic output. This allows it to be used in
features carry over from Version 1.0:
tests for long-run exclusion, weak exogeneity, and stationarity on all model
variables (now available from the cats menu). Also includes a test for unit
vectors in alpha, which corresponds to testing if the cumulated disturbances of
any of the variables do not enter the common trends.
for partial systems, models with structural breaks, and various forms of dummy
and univariate tests of the estimated residuals.
estimation for assessing constancy of the estimated model parameters, including
tests for constancy of the estimated eigenvalues, the cointegrating space, the
log-likelihood function, the parameters of an identified system, and the
adequacy of one-step-ahead predictions.
for testing hypothesis on the long-run relations in Beta as well as on the
adjustment coefficients in Alpha.
of normalization for each cointegrating vector (CATS 2 simplifies this by
suggesting default choices).
of the parameters of the moving average model, e.g. the long-run impact matrix C
and the loadings to the common trends (with asymptotic t-values).
large variety of preset graphics illustrating various key aspects of the