The RATS Software Forum

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 Regard
Hardmann

Mariano and Murasawa(2003) and Arouba, Diebold and Scotti(2009) are examples of state-space models with mixed frequency data. MM has quarterly and monthly, while ADS (which is much more complicated) has daily, weekly and quarterly data.

Thanks Tom