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- Mon Aug 24, 2009 2:23 pm
- Forum: State Space Models/DSGE
- Topic: some of the states are observed variables
- Replies: 1
- Views: 5218
some of the states are observed variables
hello, I am interested in estimating a state space model of the form: measurement equation: y'(t) = y(t) + u(t) state equation: ||y(t),a(t),b(t)|| = ||m1,m2,m3||' + ||c1,c2,c3|0,c4,c5|0,0,c6||*||y(t-1),a(t-1),b(t-1)||'+||e1,e2,e3||' ie. in my state equation the variables a(t) and b(t) are observed w...