The RATS Software Forum

Dear Tom:

Does winrats support Unscented Kalman Filter?
Can you provide some examples


Best regard
Hardmann

Dear Tom: May I ask a fundamental question. How to compare the similarity between two time series? Directly calculating the correlation coefficient, due to the common trend, the coefficient is very high, which is obviously a spurious correlation. After differential or logarithmic difference, calcula...

Thanks

Dear Tom：

I am still confused. I decomposed the US GDP with and without irregular components using the linear trend model and AR2 model. The results of the two are very similar, but the amplitude difference is significant. Which one is correct?

Best regard
Hardmann

Dear Tom: I am familiar with using the UC model to decompose trends and cycles. But the cyclical component uses ar2 instead of trigonometric functions. If there are multiple different cyclic components that need to be stacked, is it necessary to use cyclical components in the form of time-varying tr...

Dear Tom： If there were no observation errors, there would seem to be no difference between assigning the intervention variable to the mu and z options. However, in reality, there is a significant difference in the estimates. If the intervention effect is in the z option, then the intervention effec...

Dear Tom: Power generation should exhibit varying changes during the three stages of the mobile festival: before, during, and after. Electricity consumption can be broadly categorized into industrial and residential consumption. Industrial consumption is further divided into continuous and discontin...

Dear Tom:


I have identified the cause of the problem. I should have set the intervention variable to the 'mu' option instead of the 'z' option. The intervention variable should act on the observed variable rather than the state variable.

Best regard
Hardmann

Dear Tom: Our dummy variable is the Spring Festival, a lunar festival that typically moves between January and February. We constructed it as a three-stage model, namely before, during, and after the Spring Festival, with each stage simply lasting for 7 days. Before the Spring Festival, it increases...

Dear Tom: I have a question about the decomposition. I decomposed the log of monthly electricity consumption into trend, cyclical, and seasonal components. The trend component is very smooth. After adding some intervention variables, the log-likelihood improved, and both AIC and BIC (or SBC) decreas...

Dear Tom: I have programed a couple of the codes of State space with DLM to deal with Extend kalman filter. When I update Winrats from V11.00c to V11.00d, my old codes cannot get right result that is normal under V11.00c. My codes is not stable, which has different result under different version. I ...

Thanks Tom

Dear Tom: The MF-VAR model is cast in state-space form. How to estimate the MF-VAR model in Winrats? In econometric softwares, Winrats' SSF is very powerful and easy to use, why are there no related subroutines or examples? Even in the e-course of SSF or VAR, there are no relevant examples? Best Reg...

Dear Tom:

Thanks, It works.

copy(dates,format=xlsx,org=columns,dformat="YYYY:PP")

Best Regard
Hardmann

Dear Tom:

There is new problem.



Best Regard
Hardmann