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time varying parameters estimation using ssm
I am trying to estimate the parameters of the following state space model: State equation: x(t)= A*x(t-1) + B*v(t) Observatio...
5 years 前 | 0 个回答 | 0
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Parameter mapping using 'ssm' function
The unknown parameters in my state space model are not unique. Additionally, my state equation contains a regression component w...
6 years 前 | 0 个回答 | 0
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How to extract information on year when data is in quarterly format
My data is in the following format: Year 1971-Q1 1971-Q2 1971-Q3 1971-Q4 1972-Q1 1972-Q2 1972-Q3 1972-Q...
6 years 前 | 1 个回答 | 0
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plotting IRF when structural errors have been manually recovered in a VAR
The inbuilt IRF function does a choleksy decomposition to recover the structural shocks and hence plot IRF. I have recovered my ...
6 years 前 | 0 个回答 | 0
