CATS Cointegration Analysis: Overview
CATS (Cointegration Analysis of Time Series) is a set of
cointegration analysis procedures written by Jonathan G. Dennis,
Katarina Juselius, Søren Johansen and Henrik Hansen of the
University of Copenhagen for use with our RATS software. CATS was
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 begin by running a short
RATS program to define your data and load the CATS procedure. This
adds several CATS menus to the RATS menu bar, and you perform your
analysis by selecting operations from these menus. CATS will prompt
you for any needed input.
New Econometrics Features
small-sample correction of the tests for the cointegrating rank and
hypotheses on Beta.
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
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
New Interface Features
user interface, with separate menus for various categories of
operations, including I(1) analysis, I(2) analysis, graphics, and
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 loop.
These 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.
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
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
A large variety of preset graphics illustrating various key aspects
of the estimated model.