List Price $110.00, Estima's Price $90.00
This is an excellent choice for RATS users interested in pursuing state space modelling techniques. Many of the enhancements to the DLM instruction that were introduced in Version 7 of RATS were developed in the process of writing RATS code for the worked examples from this book.
From the publisher's description:
Providing analyses from both classical and Bayesian perspectives, this book presents a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system.
Plus References; Author Index; Subject Index
You might also be interested in our State Space and DSGE Models course.