VARMADLM: RATS procedure to analyze a VARMA using state-space techniques

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: This includes two setup routines for estimating or analyzing a vector ARMA model using the RATS instruction DLM.

Language: RATS
Requires: RATS 6.10
Keywords: VARMA model; state-space models (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/varmadlm.src (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00229

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().