IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/rts00251.html
 

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

Author

Listed:
  • Tom Doan

    () (Estima)

Abstract

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.

Suggested Citation

  • Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00251
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

    Download full text from publisher

    File URL: https://www.estima.com/procs_perl/seasonaldlm.src
    Download Restriction: no

    Other versions of this item:

    More about this item

    Keywords

    State-space models; UC models;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:rts00251. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum). General contact details of provider: http://edirc.repec.org/data/debocus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.