State Space Models/DSGE

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RATS Version 11.1

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RATS 11: Free Trial Version

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Dynamic Factors and Asset Pricing (He,Huh, and Lee, 2010)

Last post by fan « Sun Nov 06, 2016 8:46 pm
Replies: 20
by fan » Thu Mar 13, 2014 12:09 am
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20 Replies

81311 Views

Last post by fan
Sun Nov 06, 2016 8:46 pm
Time-Varying parameters in SSM

Last post by TomDoan « Wed Oct 05, 2016 3:21 pm
Replies: 10
by fioramanti » Mon Sep 05, 2016 4:40 am

10 Replies

16096 Views

Last post by TomDoan
Wed Oct 05, 2016 3:21 pm
UCM trend cycle decomposition

Last post by TomDoan « Tue Aug 16, 2016 7:50 am
Replies: 7
by mob7 » Fri Aug 12, 2016 6:39 pm

7 Replies

10958 Views

Last post by TomDoan
Tue Aug 16, 2016 7:50 am
time varying linear regression

Last post by pls « Sat Apr 30, 2016 2:05 am
Replies: 4
by pls » Fri May 09, 2014 10:26 am

4 Replies

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Sat Apr 30, 2016 2:05 am
endogenous regressors

Last post by pls « Wed Apr 27, 2016 11:04 am

by pls » Wed Apr 27, 2016 11:04 am

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Last post by pls
Wed Apr 27, 2016 11:04 am
Stock Watson Example

Last post by TomDoan « Tue Apr 26, 2016 4:08 pm
Replies: 12
by timduy » Thu Apr 21, 2016 1:04 pm

12 Replies

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Last post by TomDoan
Tue Apr 26, 2016 4:08 pm
Multivariate Trend-Cycle Model

Last post by TomDoan « Tue Apr 26, 2016 3:22 pm
Replies: 13
by luching » Fri Jun 13, 2014 7:53 pm

13 Replies

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Last post by TomDoan
Tue Apr 26, 2016 3:22 pm
State space models with constraints

Last post by TomDoan « Wed Mar 02, 2016 9:05 am
Replies: 1
by fructuoso » Wed Mar 02, 2016 4:57 am

1 Replies

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Last post by TomDoan
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DLM for UCM-NAWRU

Last post by fioramanti « Mon Feb 22, 2016 10:36 am
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by fioramanti » Thu Feb 18, 2016 9:31 am

12 Replies

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Mon Feb 22, 2016 10:36 am
Kishor Koenig Model of Data Revisions

Last post by TomDoan « Tue Feb 09, 2016 9:42 am
Replies: 5
by Rantmurph » Mon Jul 06, 2015 3:12 pm

5 Replies

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Last post by TomDoan
Tue Feb 09, 2016 9:42 am
Multivariate Local Level Model

Last post by TomDoan « Fri Jan 15, 2016 7:12 pm
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by Rantmurph » Fri Jan 15, 2016 5:04 pm

1 Replies

5749 Views

Last post by TomDoan
Fri Jan 15, 2016 7:12 pm
a question on seasonally adjusted

Last post by TomDoan « Thu Oct 15, 2015 11:12 am
Replies: 9
by hardmann » Tue May 14, 2013 10:09 am

9 Replies

14509 Views

Last post by TomDoan
Thu Oct 15, 2015 11:12 am
inflation in DSGE

Last post by TomDoan « Sat Sep 19, 2015 11:34 am
Replies: 11
by ecrgap » Thu Jan 14, 2010 2:55 pm

11 Replies

21298 Views

Last post by TomDoan
Sat Sep 19, 2015 11:34 am
dsge state espace

Last post by jocildo_47 « Wed Sep 16, 2015 2:22 pm
Replies: 4
by jocildo_47 » Fri Sep 11, 2015 8:26 am

4 Replies

8628 Views

Last post by jocildo_47
Wed Sep 16, 2015 2:22 pm
Clark (1987) Model sensitivity to sample size

Last post by timduy « Thu Aug 06, 2015 5:28 pm
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by timduy » Thu Aug 06, 2015 4:38 pm

2 Replies

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Last post by timduy
Thu Aug 06, 2015 5:28 pm
fiscal policy financial stability

Last post by red2 « Tue Jul 07, 2015 6:57 pm

by red2 » Tue Jul 07, 2015 6:57 pm

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Tue Jul 07, 2015 6:57 pm
Dynamic CAPM with the Gibbs Sampler

Last post by TomDoan « Sun Mar 15, 2015 7:44 am
Replies: 1
by Manty » Fri Mar 13, 2015 11:42 am

1 Replies

5996 Views

Last post by TomDoan
Sun Mar 15, 2015 7:44 am
trend plus stationary cycle model

Last post by TomDoan « Wed Feb 25, 2015 12:05 pm
Replies: 16
by joanm » Wed Dec 17, 2014 10:50 am
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2
16 Replies

23041 Views

Last post by TomDoan
Wed Feb 25, 2015 12:05 pm
how to assign initial values in state-space model

Last post by TomDoan « Mon Jul 28, 2014 7:38 am
Replies: 3
by fan » Tue Jul 22, 2014 4:18 am

3 Replies

8158 Views

Last post by TomDoan
Mon Jul 28, 2014 7:38 am
negative values for sigmas

Last post by TomDoan « Wed Apr 23, 2014 11:31 am
Replies: 1
by fan » Wed Apr 23, 2014 10:59 am

1 Replies

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Last post by TomDoan
Wed Apr 23, 2014 11:31 am
Identification issue in State-Space model

Last post by TomDoan « Tue Apr 22, 2014 8:35 pm
Replies: 21
by fan » Mon Mar 03, 2014 2:45 pm
1

2
21 Replies

26793 Views

Last post by TomDoan
Tue Apr 22, 2014 8:35 pm
Question about out-of-sample forecast in state-space model

Last post by TomDoan « Tue Apr 22, 2014 9:53 am
Replies: 3
by fan » Fri Apr 18, 2014 7:11 pm

3 Replies

6965 Views

Last post by TomDoan
Tue Apr 22, 2014 9:53 am
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

11583 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

9042 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

6834 Views

Last post by fan
Mon Mar 03, 2014 2:50 pm

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