State space model
Posted: 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
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