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 written .
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. See CATS 2: A Closer Look for screen shots showing some of the menu operations.
The CATS 2.0 package includes the CATS procedure on CD and a completely revised 200-page manual describing the econometrics of the cointegrated VAR model and how to interpret the output. All features of the program are illustrated by a worked example. The manual also includes a technical appendix describing the mathematics of CATS. Sample data and set-up files for the illustrative examples are also included.
Requires RATS 6.2 or Later
Note that you must have a copy of the RATS software in order to use CATS. CATS 2.0 will work with Version 6.2 or later of RATS.
New Cointegration Textbook, and Accompanying Handbook
CATS 2.0 was developed in conjunction with the creation of a new textbook by Katarina Juselius, entitled The Cointegrated VAR Model, from Oxford University Press. Although the book is certainly not required to use CATS, we think anyone interested in cointegration analysis, and particularly anyone using CATS to do cointegration analysis, will find it extremely helpful. Click the link above for more information.
We are also in the process of completing a "RATS Handbook" for the Juselius text. This is a free PDF file describing in detail how to use RATS and CATS to reproduce most of the results and graphs presented in the textbook. You can download a Zip file containing the first draft of Part 1 and the accompanying example programs and data files by clicking here: RATS Handbook for The Cointegrated VAR Model. Note: You will need CATS 2.0 and RATS 6.2 or later to run the examples.