DLMGLS: RATS procedure to perform GLS estimation with state-space model for errors

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Estimates a linear regression by GLS, where the error process is described by a state space model, like those used by the RATS instruction DLM.

Language: RATS
Requires: RATS 6.20
Keywords: State-space; models (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/dlmgls.src (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00053

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