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st: RE: State Space Model
From
"Nick Cox" <[email protected]>
To
<[email protected]>
Subject
st: RE: State Space Model
Date
Tue, 20 Apr 2010 15:30:25 +0100
. search state space
Keyword search
Keywords: state space
Search: (1) Official help files, FAQs, Examples, SJs, and STBs
Search of official help files, FAQs, Examples, SJs, and STBs
[TS] time series . . . . . . . . . . . Introduction to time-series commands
(help time)
[TS] arima . . . . . . . ARIMA, ARMAX, and other dynamic regression models
(help arima)
[TS] sspace . . . . . . . . . . . . . . . . . . . . . . State-space models
(help sspace)
If one of these is not the answer, you might need to spell out why.
Nick
[email protected]
Joshua Shindell
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.
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