SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Creates the A, C, and SW matrices for the seasonal component of a DLM. See Durbin and Koopman, "Time Series Analysis by State Space Methods", Oxford University Press 2001,pp 40-42, and West and Harrison, "Bayesian Forecasting and Dynamic Models" 2nd ed, Springer 1997, chapter 8 for more information.

Language: RATS
Requires: RATS 6.10
Keywords: State-space models; UC 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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Downloads: (external link)
https://www.estima.com/procs_perl/seasonaldlm.src (text/plain)

Related works:
Book: Time Series Analysis by State Space Methods (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00251

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