State Space Methods in RATS
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Statistical Software.
Volume (Year): 41 ()
Issue (Month): i09 ()
Contact details of provider:
Web page: http://www.jstatsoft.org/
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Commandeur, Jacques J.F. & Koopman, Siem Jan, 2007. "An Introduction to State Space Time Series Analysis," OUP Catalogue, Oxford University Press, number 9780199228874.
- Barnett, William A. & Kalonda-Kanyama, Isaac, 2012.
"Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?,"
36513, University Library of Munich, Germany.
- William A. Barnett & Isaac Kalonda Kanyama, 2013. "Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?," Applied Economics, Taylor & Francis Journals, vol. 45(29), pages 4169-4183, October.
- William Barnett & Isaac Kalonda-Kanyama, 2012. "Time-Varying Parameters in the Almost Ideal Demand System and the Rotterdam Model: Will the Best Specication Please Stand Up?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201201, University of Kansas, Department of Economics, revised Feb 2012.
- William A. Barnett and Isaac Kalonda-Kanyama, 2013. "Time-Varying Parameter in the Almost Ideal Demand System and the Rotterdam Model: Will the Best Specification Please Stand Up?," Working Papers 335, Economic Research Southern Africa.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.