SSMSPECTRUM: RATS procedure to compute multivariate spectral density of a state space model

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Returns the estimated multivariate spectrum from a state space model given by the transition matrix and covariance matrix of shocks. It returns in its argument a series of complex matrices.

Language: RATS
Requires: RATS 5.10
Keywords: State-space models; spectral analysis (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/ssmspectrum.src (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00198

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