Kalman filter function

[roger02]

dear administrator
to estimate the time varying coefficients of betas of CAPM using the kalman filter, i dont really know how this works as its so confusing in the
user guide. how can i apply the kalman filter for the model? if the filter
is a built-in funciton in wizards, how can i locate it? is the process is more complicated than i think or does it require many things to do after i get the data into the software!?
a step by step approach is appreciated and recommende for a naive person like me

[TomDoan]

dear administrator
to estimate the time varying coefficients of betas of CAPM using the kalman filter, i dont really know how this works as its so confusing in the
user guide. how can i apply the kalman filter for the model? if the filter
is a built-in funciton in wizards, how can i locate it? is the process is more complicated than i think or does it require many things to do after i get the data into the software!?
a step by step approach is appreciated and recommende for a naive person like me

There are several examples of this among the Tsay textbook examples. Go to http://www.estima.com/textbookindex.shtml, click on "Tsay's Analysis of Financial Time Series", and look at tsayp510.prg and tsayp533.prg. These will also be on the CD's for RATS versions 6.35 and later.

Tom Doan
Estima

[mike80]

Dear Tom,

I tried to work with the Tsay textbook examples on state space models. When running the tsayp533.prg example, for instance, it stops and I get the message "This Instruction Does Not Have An Option VAR". So, it must have to do with the "var=concentrate" instruction in the dlm command. My RATS version is 6.30. Is this instruction not implemented in this version although it is already included in the pre Version 7.0 file of the textbook examples? Thanks!

[TomDoan]

I tried to work with the Tsay textbook examples on state space models. When running the tsayp533.prg example, for instance, it stops and I get the message "This Instruction Does Not Have An Option VAR". So, it must have to do with the "var=concentrate" instruction in the dlm command. My RATS version is 6.30. Is this instruction not implemented in this version although it is already included in the pre Version 7.0 file of the textbook examples? Thanks!

VAR=CONCENTRATE was added with version 6.35, when we did quite a bit of work with DLM for the Durbin-Koopman and West-Harrison books. For versions <6.35, you would replace it with the SCALE option.