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

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

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
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    File URL: https://www.estima.com/procs_perl/seasonaldlm.src
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