State Space Methods in RATS

State Space Methods in RATS

This paper uses several examples to show how the econometrics program RATS can be used to analyze state space models. It demonstrates Kalman filtering and smoothing, estimation of hyperparameters, unconditional and conditional simulation. It also provides a more complicated example where a dynamic s...

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Bibliographic Details
Main Author: Thomas Doan
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2011-05-01
Series:Journal of Statistical Software
Subjects:
ARMA model
Kalman filter
state space methods
unobserved components
software tools
Online Access:http://www.jstatsoft.org/v41/i09/paper
Description
Summary:This paper uses several examples to show how the econometrics program RATS can be used to analyze state space models. It demonstrates Kalman filtering and smoothing, estimation 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.
ISSN:1548-7660

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