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Cointegration Analysis of Time Series.
CATS is a set of cointegration analysis procedures for use with the RATS software program.
It was written by Henrik Hansen and Katarina Juselius, and is based on the research of Johansen, Juselius, and Hansen.
The CATS package includes a diskette containing the CATS procedure and example files and an 87-page user's manual. The manual describes the econometrics of the cointegrated-VAR model, and explains how to run CATS and interpret the output. CATS also includes example files containing the data analyzed in Johansen and Juselius' 1992 article "Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK" (Journal of Econometrics, 53, 1992).
The same data are used in the manual to take the user on a guided tour of the program.
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 simply need to create a "set-up" file which defines your data and sample period and executes the CATS procedure, and then run this file in RATS.
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