Here, I will describe the main features of the model developed
by Basselier, de Antonio Liedo, Jonckehere and Langenus (2018), and illustrate
how it can be estimated using the R package rjssf, which exploits the Java libraries defining the state-space
framework (SSF) of JDemetra+. A completely unrelated SSF application regarding the specification of an error
component structure to improve signal extraction in surveys can be
found here.
Here, we show how to specify the complex structure of the measurement errors that may appear in surveys with a rotating panel design.
I briefly describe the model for the errors proposed by ELLIOTT, D. (2017), and I will show you how to specify it with the R package rjssf, which exploits the Java libraries defining the state-space
framework (SSF) of JDemetra+. A completely unrelated SSF application regarding a structural model to forecast inflation can be
found here.