CATS in RATS (Cointegration Analysis)

This page provides information on CATS in RATS--a set of cointegration analysis procedures for RATS.

Description
CATS (Cointegration Analysis of Time Series) is a set of cointegration analysis procedures for use with the RATS software program. It was written by Henrik Hansen and Katarina Juselius, and is based on the research of Johansen, Juselius, and Hansen.

Note that you must have RATS Version 4.2 or later in order to use CATS. Versions of CATS are PC (works with both WinRATS and RATS386), Macintosh, and UNIX platforms.

If you are using CATS and have upgraded to RATS Version 5, make sure to run the Setup program located in the "CATS File Update" folder on your RATS CD to update your existing copy of CATS for full compatibility with Version 5.

Note that if you received RATS Version 5.00, rather than Version 5.01 or later (use Help-About RATS to check), you should also download the updated copy of the CATSMISC.SRC procedure file. Just right-click on the CATSMISC.SRC Version 1.03 link, and choose "Save File As..." or "Save Target As..." to save the file. Be sure to save it into the CATS directory your computer.

Also, note that new orders for CATS are being shipped with this fix included. So, if your CATS diskette is labelled CATS Version 1.03, you do not need to download this file.

The CATS package includes a diskette containing the CATS procedure and example files and an 87-page user's manual. The manual describes the econometrics of the cointegrated-VAR model, and explains how to run CATS and interpret the output. CATS also includes example files containing the data analyzed in Johansen and Juselius' 1992 article "Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK" (Journal of Econometrics, 53, 1992). The same data are used in the manual to take the user on a guided tour of the program.

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 simply need to create a "set-up" file which defines your data and sample period and executes the CATS procedure, and then run this file in RATS. From there, you select the desired operations from the CATS menu, and CATS will prompt you for any needed input.

Also, a new add-on procedure for CATS which adds the ability to handle I(2) models is now available for downloading from our Web site. See I(2) Cointegration Procs for details.