The RATS Software Forum

Tom: I have resolved the initial difficulty with the solution that you provided, by correctly dimensioning the vect[vect]. However, the DLM requires another adjustment that eludes me. I am receiving this error message: dlm(method=bfgs,parmset=fixparms,start=DLMSetup(),presample=ergodic,$ a=a,c=c,f=f...

Tom: Thank you. However, I encounter a problem with the dimension of swf(). The example program swgibbsmissing.prg dimensions sw as 5x5, whereas swf is 2x2, which is not conformable with f in the DLM (f is also 5x5, of course). Should swf() return two 5x5 matrices? Clearly, I am not following well e...

Stock and Watson continue to develop their common factor model. In "The Evolution of National and Regional Factors in U.S. Housing Construction," in Essays in Volatility in Finance and Economics, Time Series, and Regional Economics (2010), they allow volatilities to break midway through th...