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state space model
Posted: Wed Apr 06, 2011 3:12 am
by iloverats
y_t=x1_t*b1_t+x2*b2+u_t,
b1_t=beta*b1_t-1+v_t,
how can i use dlm to estimate this state sapce model?
thank you
Re: state space model
Posted: Wed Apr 06, 2011 10:30 am
by TomDoan
iloverats wrote:
y_t=x1_t*b1_t+x2*b2+u_t,
b1_t=beta*b1_t-1+v_t,
how can i use dlm to estimate this state sapce model?
thank you
That's a partially fixed, partially varying TVP model. You might want to check out:
http://www.estima.com/forum/viewtopic.php?f=5&t=631
http://www.estima.com/forum/viewtopic.php?f=5&t=932
The simplest way to handle it is to also treat B2 as a state, with a unit coefficient in the state matrix and a zero variance. So your A would be ||beta,0.0|1.0,0.0|| and SW would be ||var(v)|0.0,0.0||