CATS: Version 2.0!

Version 2.0 is a major update to CATS that introduces significant new econometrics capabilities, a re-designed and expanded user interface, and a new, significantly expanded User's Manual. SeeCATS 2: A Closer Look for screen shots showing some of the menu operations.

New Econometrics Features

• Bartlett small-sample correction of the tests for the cointegrating rank and hypotheses on Beta.

   

• A new "CATSmining" automated model-selection procedure.

   

• Estimation 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

   

• Estimation of structural moving average models.

   

• System reduction tests for lag length determination.

   

• Missing observations in data allowed.

   

• Updated recursive estimation routine includes new tests for eigenvalue fluctuation, constancy of the cointegrating space and the log-likelihood function.

   

• Allows for backwards recursion for investigating parameter constancy over the beginning of the sample.

   

• For 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.

   

• Includes a procedure for estimation and identification of structural moving average models.

New Interface Features

• All-new user interface, with separate menus for various categories of operations, including I(1) analysis, I(2) analysis, graphics, and automated tests.

   

• All 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.

   

• All 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.

   

• The estimated model can now be exported as a RATS "MODEL" making it much easier to compute forecasts and impulse responses.

   

• The graphs created by CATS can be customized.

   

• Output can be exported in tex or csv formats.

   

• Restrictions can be saved and re-loaded, making it easier to replicate analyses or continue your work at a later time.

   

• CATS 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 loop.

Other Features

These features carry over from Version 1.0:

 

• "Batch" 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.

   

• Support for partial systems, models with structural breaks, and various forms of dummy variables.

   

• Multivariate and univariate tests of the estimated residuals.

   

• Recursive 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.

   

• Options for testing hypothesis on the long-run relations in Beta as well as on the adjustment coefficients in Alpha.

   

• Choice of normalization for each cointegrating vector (CATS 2 simplifies this by suggesting default choices).

   

• Estimation 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).

   

• A large variety of preset graphics illustrating various key aspects of the estimated model.