question about multiple observables

[hardmann]

Deat Tom:

In Rats Handbook for State-Space Models, there are tow examples about multiple observables. Though these include stationary and non-stationary, these both are homogeneous, so models all add a state to capture common factor. As for heterogeneous observables, Sinclair(2009), "The Relationships between Permanent and Transitory Movements in U.S. Output and the Unemployment Rate,"
gives a good example. However, it is too simple to illustrate multiple observables state space model.
I hope you give more sophisticated model and example, such philips curve.

Best Regard.
Hardmann

[TomDoan]

Look at the Fabiani-Mestre example: http://www.estima.com/forum/viewtopic.php?f=8&t=432