Re: State space model with seasonal components
Posted: Mon Jul 13, 2009 3:02 am
Dear Tom,
May I ask you a question about adding explanatory variable into the state space model?
If the yt series and my explanatory variables(exp_v) range from 1999 M1 to 2008 M12, and I want to use exp_v{1} (exp_v lagged for 1 period) as the explanatory variable to enter into the state space model. In this case, shall I just write 'exp_v{1}' instead of 'exp_v' into the programme? Can RATS adjust the yt series automatically to match the lagged explanatory variables?
Thank you!
May I ask you a question about adding explanatory variable into the state space model?
If the yt series and my explanatory variables(exp_v) range from 1999 M1 to 2008 M12, and I want to use exp_v{1} (exp_v lagged for 1 period) as the explanatory variable to enter into the state space model. In this case, shall I just write 'exp_v{1}' instead of 'exp_v' into the programme? Can RATS adjust the yt series automatically to match the lagged explanatory variables?
Thank you!