• 全新用戶界面，與分開的選單因為操作各種類別，包括I (1)分析、I (2)分析、圖表和自動化的測試。
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. See CATS 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.
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.