好久不发贴了,今天来发一个程序包, 是关于多元时间序列的. 代码是用RATS写的. 是Lütkepohl, New Introduction to Multiple Time Series Analysis书上的例子， 我相信代码是可以重用的。
The attached zip has most of the examples from Helmut Lütkepohl's, New Introduction to Multiple Time Series, 1995, Springer-Verlag. Most of the examples here are for various aspects of VAR analysis. Many of the examples do diagnostics of various types on a VAR with multivariate tests for normality, autocorrelation and stability.

Example	Description	RATS Level
lutkp077.rpf	VAR; roots of companion matrix	Intermediate
lutkp087.rpf	VAR; Yule-Walker estimates	Basic
lutkp098.rpf	VAR; forecasts	Basic
lutkp118.rpf	VAR; error bands with delta method	Intermediate
lutkp129.rpf	VAR; error bands with bootstrapping	Advanced
lutkp145.rpf	VAR; lag length selection	Basic
lutkp148.rpf	VAR; lag length selection	Basic
lutkp173.rpf	VAR; test for white noise	Advanced
lutkp181.rpf	VAR; test for Normality	Basic
lutkp184.rpf	VAR; Chow test	Intermediate
lutkp188.rpf	VAR; multiple step forecast test	Intermediate
lutkp217.rpf	VAR; restricted equations	Advanced
lutkp227.rpf	VAR; Bayesian prior, zero mean	Advanced
lutkp312.rpf	VAR;Bayesian with unit root priors	Advanced
lutkp477.rpf	VARMA model	Advanced
lutkp497.rpf	AR model	Intermediate
lutkp602.rpf	VAR; sample split test	Intermediate
lutkp608.rpf	VAR; sample split test	Intermediate
lutkp637.rpf	Time-varying coefficients model	Advanced