This page provides links to technical reports and papers about RATS or that may be of interest to RATS users.
This paper provides an introduction and overview to working with state space models in RATS. Working with a sample data set and model, the paper covers setting up and estimating the model, diagnostics, forecasting, and simulations.
Click link to download the paper: State Space Methods in RATS
Click link to download the example programs and data: Example Programs and data for TP 2010-2
State-space models, and the state-space representation of data, are an important tool for econometric modeling and computation. However, when applied to observed (rather than detrended) data, many such models have a mixture of stationary and non-stationary roots. While Koopman (1997) and Durbin and Koopman (2002) provide “exact” calculations for models with non-stationary roots, these have not yet been implemented in most software. Also, neither the Koopman article nor the Durbin and Koopman book address (directly) the handling of models where a unit root is shared among several series—a frequent occurrence in state space models derived from DSGE’s. This paper provides a unified framework for computing the finite and “infinite” components of the initial state variance matrix which is both flexible enough to handle mixed roots and also faster (even for purely stationary models) than standard methods. In addition, it examines some special problems that arise when the number of unit roots is unknown a priori.
Click link to download the paper: State Space Mixed Dynamics Paper
This paper is taken from a talk on recent developments in the field of Vector Autoregressions presented by Tom Doan at the RATS User's Group meeting held in April of 2004 at Trinity College in Dublin, Ireland. The paper examines the following articles:
Using the links below, you can download the paper in PDF format, or a Zip file that includes the paper as well as some example programs, procedures, and data sets.