Journal of Statistical Software

  Previous Article | Back to Volume | Next Article
  Abstract | References | Citation | Download | Preview | Statistics
Sample volume 1
Title State Space Methods in RATS
Author Doan Thomas
This paper uses several examples to show how the econometrics program RATS can be
used to analyze state space models. It demonstrates Kalman ltering and smoothing, es- timation of hyperparameters, unconditional and conditional simulation. It also provides a more complicated example where a dynamic simultaneous equations model is transformed into a proper state space representation and its unknown parameters are estimated.
Keywords ARMA model, Kalman lter, state space methods, unobserved components, soft- ware tools.
Download Full PDF Download
  Previous Article | Back to Volume | Next Article
Search in articles
Journal Published articles
JSS 18
Journal Hits
JSS 56663
Journal Downloads
JSS 74
Total users online -