TVARYING Instruction

TVARYING list of transition covariance arrays

TVARYING is a sub-command of SYSTEM which supplies state transition covariance matrices for a time-varying Kalman filter. One SYMMETRIC array should be listed for each equation in the SYSTEM.

Parameters

list of ...

These are the state-transition covariance matrices, which are the covariance matrices of the changes in the coefficients. You need one array for each equation in the SYSTEM.

These are SYMMETRIC arrays. You do not need to DECLARE these in advance, but you do need to dimension and set them before you execute a KALMAN instruction.

Notes

If you want to write a single set of code which can handle VAR’s of various sizes, we recommend that you use a VECTOR[SYMMETRIC] in place of a list. For instance,

dec vector[symmetric] tvs(neqn)

tvarying tvs

makes TVS(1), TVS(2),...,TVS(NEQN) the list of arrays.

The TVARYING matrices, and the matrices for KFSET as well, have to be set before you can do a KALMAN instruction.

See the instruction DLM for information on using the Kalman filter for general state-space modelling. TVARYING is used for the specific situation where you are estimating a linear model with time-varying coefficients.