Welcome to CATS for OxMetrics 10

CATS 3

The third generation of CATS is a complete rewrite in more than one way. It is now written in Ox for use within OxMetrics, either using the graphical user interface or programmatically. Furthermore, many algorithms have been improved or newly invented, in particular for I(2) models.

Here is a brief summary of new features in the I(1) part of CATS

  1. Much more efficient computations (can be several orders of magnitude faster) in Bartlett correction and recursive estimation;
  2. Bartlett correction always included when valid;
  3. Improved beta-switching algorithm;
  4. New alpha-beta-switching algorithm allowing linear restrictions on alpha and not requiring identification;
  5. Bootstrap of rank test;
  6. Bootstrap of restrictions;
  7. More Monte Carlo facilities: draw from estimated model, either with estimated or with specified coefficients;
  8. General-to-specific CATSmining;
  9. Automatic generation of Ox code;
  10. New convenient way to express restrictions;
  11. Most algorithms QR based.

And for the I(2) part of CATS:

  1. Improved tau-switching algorithm;
  2. New delta-switching algorithm;
  3. New triangular-switching algorithm allowing linear restrictions on alpha, beta, tau and not requiring identification;
  4. Estimation with delta=0;
  5. Bootstrap of rank test;
  6. Simulation of asymptotic distribution of rank test;
  7. Bootstrap of restrictions;
  8. More Monte Carlo facilities: draw from estimated model, either with estimated or with specified coefficients;
  9. Automatic tests of unit vectors and variables;
  10. CATSmining;
  11. Improved computation of standard errors;
  12. Automatic generation of Ox code;
  13. All algorithms QR based.

The CATS system

CATStm uses OxMetrics for data input and graphical and text output, and is part of the OxMetrics family.

OxMetricstm is the name of a family of software packages providing an integrated solution for those requiring econometric analysis of time series, financial econometric modelling, or statistical analysis of cross-section and panel data. The core packages of the family are OxMetrics, which provides the user-interface, data handling, and graphics, and Ox Professional, which provides the implementation language.

OxMetricstm is the front-end for all the members of the OxMetrics family. OxMetrics displays reports and graphics, which can be manipulated on screen, offers a calculator and algebraic language for transforming data, and enables the user to open multiple databases. A batch language allows for the automation of many of these tasks. OxMetrics provides nearly 50 types of graphs, ranging from time-series plots to cross-plots, ACF, density, 3-D plots, automatic graphing of logs and growth rates, seasonal subplots, error fans and many others.

© JA Doornik This file last changed .