State Space Methods in RATS

Thomas Doan

Journal of Statistical Software, 2011, vol. 041, issue i09

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.

Date: 2011-05-12
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:041:i09

DOI: 10.18637/jss.v041.i09

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