State Space Models/DSGE

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RATS Version 11.1

Last post by TomDoan « Fri Jan 23, 2026 1:01 pm
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RATS 11: Free Trial Version

Last post by RK2509 « Sun Apr 05, 2026 9:17 pm
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by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

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Ozbek & Ozlale(2005), "Employing the extended Kalman filter

Last post by TomDoan « Mon Apr 07, 2014 11:48 am
Replies: 7
by hardmann » Sat Jul 27, 2013 9:51 pm

7 Replies

13445 Views

Last post by TomDoan
Mon Apr 07, 2014 11:48 am
Mean Reverting Model_Parameter Transformation

Last post by TomDoan « Fri Mar 21, 2014 1:57 pm
Replies: 5
by vtsa » Wed Mar 19, 2014 5:49 am

5 Replies

10764 Views

Last post by TomDoan
Fri Mar 21, 2014 1:57 pm
questions on examples from Kim and Nelson

Last post by fan « Mon Mar 03, 2014 2:50 pm
Replies: 2
by fan » Mon Mar 03, 2014 2:15 pm

2 Replies

8016 Views

Last post by fan
Mon Mar 03, 2014 2:50 pm
a question about state space model with exogenous regressors

Last post by TomDoan « Tue Jan 28, 2014 5:08 am
Replies: 33
by fan » Wed Jul 24, 2013 5:42 pm
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33 Replies

55448 Views

Last post by TomDoan
Tue Jan 28, 2014 5:08 am
The last values of the states are so large

Last post by May-June « Wed Jan 08, 2014 8:49 am
Replies: 6
by May-June » Mon Jan 06, 2014 11:31 am

6 Replies

11844 Views

Last post by May-June
Wed Jan 08, 2014 8:49 am
Univariate state space model + exogenous variables

Last post by May-June « Mon Jan 06, 2014 3:18 am
Replies: 2
by May-June » Sun Jan 05, 2014 5:36 pm

2 Replies

8389 Views

Last post by May-June
Mon Jan 06, 2014 3:18 am
How to show the Kalman Gains?

Last post by May-June « Sun Dec 08, 2013 8:26 am
Replies: 2
by May-June » Sun Dec 08, 2013 4:43 am

2 Replies

8245 Views

Last post by May-June
Sun Dec 08, 2013 8:26 am
DLM estimation procedure?

Last post by TomDoan « Thu Dec 05, 2013 11:34 am
Replies: 3
by mhlinder » Thu Dec 05, 2013 10:07 am

3 Replies

9334 Views

Last post by TomDoan
Thu Dec 05, 2013 11:34 am
Multivariate HP filter

Last post by TomDoan « Thu Aug 22, 2013 9:53 pm
Replies: 17
by mskare69 » Mon Aug 12, 2013 3:49 pm
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2
17 Replies

39864 Views

Last post by TomDoan
Thu Aug 22, 2013 9:53 pm
State Space representation

Last post by sulong « Wed Aug 21, 2013 10:44 pm
Replies: 2
by sulong » Tue Aug 20, 2013 10:05 pm

2 Replies

8551 Views

Last post by sulong
Wed Aug 21, 2013 10:44 pm
A question on Fourier seasonal model

Last post by TomDoan « Mon Aug 19, 2013 12:32 pm
Replies: 4
by hardmann » Tue Jul 16, 2013 4:29 am

4 Replies

11249 Views

Last post by TomDoan
Mon Aug 19, 2013 12:32 pm
structural models for time series

Last post by TomDoan « Wed Jun 05, 2013 9:58 am
Replies: 37
by mcorozcos » Wed Feb 08, 2012 6:39 pm
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37 Replies

83918 Views

Last post by TomDoan
Wed Jun 05, 2013 9:58 am
a question on business cycle synchronization

Last post by TomDoan « Tue May 14, 2013 11:04 am
Replies: 3
by hardmann » Tue May 14, 2013 3:33 am

3 Replies

23845 Views

Last post by TomDoan
Tue May 14, 2013 11:04 am
irregular component of seasonal model?

Last post by TomDoan « Fri May 03, 2013 9:39 am
Replies: 1
by hardmann » Fri May 03, 2013 12:01 am

1 Replies

7299 Views

Last post by TomDoan
Fri May 03, 2013 9:39 am
time-varying coefficients in a linear model

Last post by hipolit « Wed Apr 24, 2013 4:58 am
Replies: 4
by hipolit » Tue Apr 23, 2013 6:44 am

4 Replies

10977 Views

Last post by hipolit
Wed Apr 24, 2013 4:58 am
Cox-Ingersoll-Ross Model

Last post by PeterF « Wed Feb 20, 2013 1:28 pm
Replies: 2
by PeterF » Wed Feb 20, 2013 11:24 am

2 Replies

9694 Views

Last post by PeterF
Wed Feb 20, 2013 1:28 pm
why estimate twice in DLM

Last post by TomDoan « Wed Feb 20, 2013 9:58 am
Replies: 1
by hardmann » Wed Feb 20, 2013 8:15 am

1 Replies

6937 Views

Last post by TomDoan
Wed Feb 20, 2013 9:58 am
Question on simplex algorithm

Last post by wzben « Tue Dec 11, 2012 2:23 am
Replies: 3
by wzben » Fri Dec 07, 2012 6:11 pm

3 Replies

9482 Views

Last post by wzben
Tue Dec 11, 2012 2:23 am
Matrices not conformable in Harvey Textbook examples

Last post by TomDoan « Tue Sep 04, 2012 11:34 am
Replies: 1
by mgm » Mon Sep 03, 2012 4:50 pm

1 Replies

7367 Views

Last post by TomDoan
Tue Sep 04, 2012 11:34 am
DSGE Canova and Menz (2011)

Last post by moderator « Wed Aug 01, 2012 8:27 am
Replies: 4
by KOBE24 » Tue Jul 17, 2012 11:17 am

4 Replies

13361 Views

Last post by moderator
Wed Aug 01, 2012 8:27 am
DSGE data

Last post by TomDoan « Tue Jul 10, 2012 8:36 pm
Replies: 3
by luching » Sat Jun 11, 2011 7:04 am

3 Replies

11905 Views

Last post by TomDoan
Tue Jul 10, 2012 8:36 pm
Is a spelling error?

Last post by TomDoan « Wed Jul 04, 2012 1:24 pm
Replies: 1
by hardmann » Wed Jul 04, 2012 6:08 am

1 Replies

6800 Views

Last post by TomDoan
Wed Jul 04, 2012 1:24 pm
the welfare cost of central bank

Last post by iloverats « Mon May 07, 2012 1:45 am

by iloverats » Mon May 07, 2012 1:45 am

0 Replies

6200 Views

Last post by iloverats
Mon May 07, 2012 1:45 am
%XX

Last post by TomDoan « Thu Apr 12, 2012 6:54 am
Replies: 5
by chiade » Thu Apr 05, 2012 4:29 am

5 Replies

14488 Views

Last post by TomDoan
Thu Apr 12, 2012 6:54 am
defining coefficients

Last post by TomDoan « Wed Mar 28, 2012 4:10 pm
Replies: 1
by chiade » Wed Mar 28, 2012 3:55 am

1 Replies

7130 Views

Last post by TomDoan
Wed Mar 28, 2012 4:10 pm

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