Multivariate state-space models

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Multivariate state-space models

Unread postby injectors » Fri Jun 30, 2023 9:34 pm

Hello to all
I am looking for a procedure for multivariate state-space models
I am using this reference

Carvalho, V., Harvey, A., & Trimbur, T. (2007). A note on common cycles, common trends, and convergence. Journal of Business & Economic Statistics, 25(1), 12-20.

Suggestions are welcome

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Re: Multivariate state-space models

Unread postby TomDoan » Wed Jul 05, 2023 3:56 pm

Can you be a bit more specific about what type of model you want? There are examples in the Durbin-Koopman, Harvey and Kim and Nelson texts and about a half dozen papers. But they are all over the lot in terms of the application.
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