Journal of Statistical Software

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Sample volume 1
Title State Space Methods in RATS
Author Doan Thomas
Abstract
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.
Citation
Keywords ARMA model, Kalman lter, state space methods, unobserved components, soft- ware tools.
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