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st: State Space Model
From
Joshua Shindell <[email protected]>
To
[email protected]
Subject
st: State Space Model
Date
Tue, 20 Apr 2010 09:01:04 -0400
Hello Statalist,
I am looking to estimate a state space model of the following form:
Y(t) = X(t)B(t) + e(t) - Observation Equation
B(t) = Z*B(t-1) + u(t) - State Equation
I am unable to specify the state equation as a function of the previous periods.
To understand the context of what I am trying to do, I am trying to
estimate stock Beta coeffiecients with a stochastic parameter
regression model using a Kalman filter, as outlined in Applied
Quantitative Methods for Trading and Investment, by Christian L.
Dunis, Jason Laws, Patrick Naïm, 2005; Chapter 7, pp 223-237.
Thank you for any help or suggestions,
Joshua A. Shindell
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