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- Fri Dec 21, 2007 10:01 am
- Forum: State Space Models/DSGE
- Topic: About the DLM model for Kalman Filter
- Replies: 1
- Views: 7859
About the DLM model for Kalman Filter
Hello, I have Y and X series, for example, Y= 1,3,4,8,1,5,..... and X=3,5,7,4,6,7..... and I want to estimate the following model with Kalman filter via RATS 6.3: Y(t) - A0 = X(t) + V(t) X(t) = A1*X(t-1) + W(t) V(t)~iid(0,Variance(V)) W(t)~iid(0,Variance(W)) I want to get the A0, A1, sigma V, and si...