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What's new in RATS 9.0

Updated Manuals

  • We added more information in the User's Guide chapters on "ARCH/GARCH and related models", "Threshold, Breaks and Switching" and "Cross Section and Panel Data". This partly reflects the fact that these were the topics of our three most recent e-courses, and the GARCH and panel data instructions saw quite a bit of change as a result. Also GARCH and the regime-switching models can often require a bit of care to get reasonable results (or results at all), which has produced many of our technical questions in recent years. As much as possible, we try to address those issues in the revised documentation.

Interface Improvements

  • The online help feature has been completely revised. It now has the full content of the Reference Manual, with some important extras: over 100 of the most important procedures with a full description of syntax and examples. It is also fully linked up with cross-references for ease of use.
  • The GARCH wizard has been split into separate wizards for univariate and multivariate models. A new wizard for handling estimation of cointegration models provides easy-to-use access to the @JOHMLE, @FM and @SWDOLS procedures.
  • File-Properties shows the full file name of an open file (in a form where you can easily copy and paste). This can be handy when you have long paths so the name gets truncated.
  • Help-News... gets a "news feed" off our web site with links to updated information.
  • With version 8.3, we replaced the editor which actually runs most of the program with a new public domain editor called Scintilla. This adds the ability to put markers at locations in your program and includes "regular expressions" for more sophisticated searches. A few oddities in its operation (particularly skipping lines if you hold down the Enter key) have been corrected with version 9.
  • Another important change with v8.3 that’s even better with v9 is Find in Files. This allows you to search for a string (or "regular expression") across the full set of example programs so you can quickly locate example programs that use DLM or do a BEKK GARCH or an SPGRAPH,etc. It gives a huge boost to your productivity.

Programming Updates

  • The most important change to the program itself is that you can now pass functions as parameters and options.This was a big hole in the RATS programming language–we haven’t even begun to figure out all the things that will be made easier or (even) possible using this.
  • We introduced the HASH and LIST aggregators with version 8.2, but with version 9, we’ve added enough support to these to make them truly useful. These have been added to the documentation and examples of their use is now included.
  • The diagnostics for attempts to access out-of-range array elements have been improved, pointing you towards the likely source. You also now get better information about mistyped identifiers, as the program will list possible near-matches.

Changes to Instructions

  • You can now write data to XLSX and not just XLS. This applies to any instruction which writes data and to the export operations from REPORT windows.
  • SPGRAPH can now put keys out the outside of a matrix of graphs.
  • The GARCH instruction adds the new option VARIANCES=KOUTMOS to compute the univariate variances for CC and DCC models using the EGARCH formulation from Koutmos(1996) "Modeling the Dynamic Interdependence of Major European Stock Markets", Journal of Business Finance and Accounting, vol 23, 975-988. It also adds the STDRESIDS option for computing standardized residuals (univariate or jointly standardized multivariate).
  • IMPULSE has a new FLATTEN option for more easily saving into %%RESPONSES in Monte Carlo methods. Its FACTOR option can accept reduced numbers of columns (shocks), which makes it easier to handle situations where you are particularly interested in only a subset of the structural shocks.
  • HEIGHT and WIDTH have been added to GRPARM to allow standardized sizing of graphs.
  • GRAPH has a new SERIES option which can take a VECTOR of SERIES or a VECT[INTEGER] with series handles as input. This is particularly handy for doing graphics in Vector Autoregressions, where the number of graphs needed can change from application to application.
  • The DATA instruction adds the new option ORG=MULTILINE which allows you to pull data out of a spreadsheet file when a particular series occupies a block of rows.

What's new in RATS 8.3

RATS version 8.3 includes several important new tools to make you more productive.

With rats version 8.3, several important new tools have been added to make you more productive. RATS is now using a public domain "programmer's editor" called Scintilla. We've used a proprietary text editor since WinRATS was introduced, as the text editor supplied with Windows at the time was limited to 32K bytes, which could be completely filled with one set of impulse responses on a reasonably large model. Unfortunately, that editor was orphaned several years ago, and wasn't portable to the Macintosh or Unix.

Scintilla is portable to all three platforms and is specifically designed as a programmer’s editor, which is what is needed for rats. One very useful feature is a “bracket matcher”, which shows the (apparent) matches for ( ) and { } pairs (showing the mates in green), to help fix parenthesis nesting errors. If one of these characters has no obvious partner, it is shown in red as you cursor over it. We’ve also added the ability to “mark” a location in a text file so you can easily return to it.

A big productivity aid is the new Find in Files operation. Among standard, textbook and paper replication examples, we have well over 1000 running examples. With Find in Files, you can search across these for particular text, like MV=DCC to find examples which do dcc garch models. Both Find in Files, and the standard Edit-Find operations also now support “regular expressions”, a standard set of codings for text patterns. For instance, a search pattern of sur(.*model= will locate all instances of a SUR instruction with the MODEL option, with.* matching any number of characters. A simple sur(model= will only find examples where MODEL is the first option listed.

RATS 8.3 now uses multiple “threads” with the editor interface in one and the statistical engine in another. This makes it possible for the editor part to still be responsive while calculations are going on. It also slightly improves performance, particularly on computers with multiple cores, since it can give over one entire core to the numerical calculations while running the interface (and anything else you’re doing) on another.

The 64-bit executable (on WinRATS Pro) now runs about 15-20% faster than the 32-bit on the same computer due to improvements in compiler technology. We still provide both executables, since some of the added data formats aren’t available for the 64-bit at this point. The install process for Win-RATS Pro has been simplified, with the downloadable version now including both 32 and 64 bit.

The following changes have been made to existing instructions:

  • BOXJENK has a MEANEQ option to define the equation for the mean (only) in a RegARIMA model
  • SSTATS adds a START option similar to those on SET and MAXIMIZE. It also will now ignore entries which evaluate to NA so you don’t have to use a SMPL option to skip over them.
  • THEIL now has a FORECASTS option which allows you to input a set of forecasts generated by some method other than the standard techniques available, while still being able to let THEIL do the forecast error calculations.
  • The STACKED bar graph styles on GRAPH will now allow a mix of positive and negative values at a given time period, stacking away from zero in each direction.
  • The VTICKS and HTICKS options on the graphics instructions will now accept a VECTOR of values at which you want tick marks, allowing you to override the automatic choices made by rats.

8.3 adds several new functions:

  • %MODELLARGESTROOT(model) returns the absolute value of the largest root of the companion matrix of a model. This is helpful in doing Monte Carlo simulations on a var, as you can easily reject draws that are unstable.
  • %STRESCAPE(s,chars,escape) returns a string with any character from chars “escaped” by prefixing with it the character or string escape.
  • %STRFIND(s,f) looks for the string f in s, returning the position if found and zero otherwise
  • %STRTRIM(s) returns a copy of a string with leading and trailing quotes and spaces removed

In addition, quite a few existing functions have been altered to allow them to apply to each element of a vector or matrix rather than just to single real values: COS, SIN, TAN, %PLUS and %MINUS. %VALID, when applied to a matrix will return 1 only if no element of the matrix is missing.