State space model

Discussion of State Space and Dynamic Stochastic General Equilibrium Models

State space model

Postby nkxl » Thu Nov 01, 2007 6:27 am

I want to estimate the following model with Kalman filter:

Y(t)=X(t)+v(t)
X(t)=a+b*X(t-1)+w(t).

In RATS, the state equition doesn't have the intercept a. My question is how to deal with the intercept a in the state equation in RATS form: X(t)=c'X(t-1)+w(t)?

Many thanks
nkxl
 
Posts: 4
Joined: Tue Oct 30, 2007 11:54 am

Postby TomDoan » Mon Nov 05, 2007 1:23 pm

The Z option on DLM is used for shifts in the state equation like this
TomDoan
 
Posts: 2720
Joined: Wed Nov 01, 2006 5:36 pm

Postby nkxl » Tue Nov 06, 2007 5:55 am

Thanks a lot!
nkxl
 
Posts: 4
Joined: Tue Oct 30, 2007 11:54 am


Return to State Space Models/DSGE

Who is online

Users browsing this forum: No registered users and 1 guest