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SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM

  • Tom Doan

    ()

    (Estima)

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    Creates the A, C, and SW matrices for the seasonal component of a DLM. See Durbin and Koopman, "Time Series Analysis by State Space Methods", Oxford University Press 2001,pp 40-42, and West and Harrison, "Bayesian Forecasting and Dynamic Models" 2nd ed, Springer 1997, chapter 8 for more information.

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    File URL: http://www.estima.com/procs_perl/seasonaldlm.src
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    Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00251.

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    Programming language: RATS
    Requires: RATS 6.10
    Date of creation:
    Date of revision:
    Handle: RePEc:boc:bocode:rts00251
    Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
    Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
    Phone: 617-552-3670
    Fax: +1-617-552-2308
    Web page: http://fmwww.bc.edu/EC/
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