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Brief user x27 s guide dynamic systems estimation dse paul gilbert

Brief User's Guide Dynamic Systems Estimation DSE Paul Gilbert September Copyright - Bank of Canada The user of this software has the right to use reproduce and distribute it The Bank of Canada makes no warranties with respect to the software or its tness for any particular purpose The software is distributed by the Bank of Canada solely on an as is basis By using the software the user agrees to accept the entire risk of using this software The software documented here is available on the the Comprehensive R Archive Network CRAN http cran r-pro ject org Please check for new versions This Guide is generated automatically using the RSweave utilities see F Leisch R News v Dec p - so the examples should all work The text and examples are included in the distributed package subdirectory inst doc dse-guide Stex Please check that le if there is any doubt about the example code The output from some of the examples is shown but to conserve paper much of the output is not shown It is intended that users should work through the examples and see the output themselves I regularly use the code with Ron Linux and sometimes on Windows There is an extensive set of tests which is run on all R test platforms for packages distributed on CRAN Please report any errors you nd In the past the code has also worked with Splus on Solaris but I no longer run this There are known problems with Splussince version Caveat This software is the by-product of ongoing research It is not a commercial product Limited e ort is put into maintaining the documentation but the R tools do automatically check that all functions and their arguments are documented in the help system and all examples work This guide may have references to functions which do not yet work and or have not been dis- tributed and the documentation may not correspond to the current capabilities of the functions but please report these problems if you nd them While the software does many standard time-series things it is really intended for doing some non-standard things The main di erence between dseand most widely available software is that dseis designed for working with multivariate time series and for studying estimation techniques and forecasting models Constructive suggestions and comments are welcomed by the package main- tainer Introduction to dse Getting Started General Outline of dseOb jects and Methods De ning a TSdataStructure ARMA and State-Space TSmodels VAR and VARX TSmodels Model Estimation Forecasting Etc Evaluation of Forecasting Models Adding New TSmodelClasses Adding New TSdataClasses Mini-Reference Related Packages not in this guide setRNG tframe EvalEst CDNmoney tsfa TSdbi Introduction to dse dse was originally designed with linear time-invariant auto-regressive moving- average ARMA models and state-space SS models in mind These remain the most well developed models and provide the basis for the examples in this guide In order to provide examples implemented estimation techniques and meth- ods for converting among