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
state space model
state space model
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
Last edited by iloverats on Wed Apr 06, 2011 10:26 am, edited 2 times in total.
Re: state space model
That's a partially fixed, partially varying TVP model. You might want to check out: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
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||