Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Thomas Doan
Title: State Space Methods in RATS
Abstract: 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 simultaneous equations model is transformed into a proper state space representation and its unknown parameters are estimated.

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DOI: 10.18637/jss.v041.i09

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.