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Can RATS do unit-root tests and cointegration analysis?

April 26, 2017analysis cointegration rats tests

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Can RATS do unit-root tests and cointegration analysis?

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H5. Yes. Although RATS doesn’t have built-in instructions for these, all the necessary tools are there, and these tools have been put to use by Estima and others to write procedures for unit-root and cointegration analysis. The RATS package includes procedures for doing Dickey-Fuller and Phillips-Perron unit root tests (on the files DFUNIT.SRC and PPUNIT.SRC, respectively), which are documented in the RATS User’s Manual. Various RATS users have written other unit-root procedures, many of which are available for downloading from this web site (see List of Procedures and Examples). For cointegration analysis, check out the CATS in RATS program. This is a sophisticated set of procedures written by Johansen, Juselius, and Hansen. It includes an extensive manual providing an overview of cointegration theory and details on using the CATS procedures.