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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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2011-05-01
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| Series: | Journal of Statistical Software |
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| Online Access: | http://www.jstatsoft.org/v41/i09/paper |