Dear Tom,
I understand that assigning appropriate initial values could play a big role in running state-space model. However, it is always difficult for me to give initial values when I am running state-space model. I would like to know how you will assign the initial values if you had the attached model.
how to assign initial values in state-space model
how to assign initial values in state-space model
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Re: how to assign initial values in state-space model
Could you post that in a different format?
Re: how to assign initial values in state-space model
Sorry for the late reply. here is the example model
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Re: how to assign initial values in state-space model
Your model has no way to distinguish the first three states. If one turns out to be redundant, you're going to have a very tough time trying to estimate that. You also have unidentified scales on the 2nd and 3rd states.
Probably the best way to get guess values is to get the first four principal components, and do AR(1)'s on each to get guesses for the transition parameters, then linear regressions to get the loadings. That will get the scales right on the coefficients, but might not get the correct 4th state.
Probably the best way to get guess values is to get the first four principal components, and do AR(1)'s on each to get guesses for the transition parameters, then linear regressions to get the loadings. That will get the scales right on the coefficients, but might not get the correct 4th state.