State Space Models
Posted: Mon Mar 01, 2021 3:41 am
i need to estimate the model proposed by Diebold, Rudebusch & Aruoba (2006), "The macroeconomy and the yield curve: a dynamic latent factor approach,"
this is a dynamic factor model.
the vector Y(t) is assumed to be sa function of unobservables facteir (F(t)) and the white noise (et)
Y(t)= B*F(t)+ e(t))
My question is how to add the autoreggressive component of order one of vector (Y(t)) in the equation ? (THE NEW EQUATION BECAME Y(t)= A*Y(t-1)) +B*F(t)+ e(t))
hOW to implent this in winrats in dynamac factor model ?
this is a dynamic factor model.
the vector Y(t) is assumed to be sa function of unobservables facteir (F(t)) and the white noise (et)
Y(t)= B*F(t)+ e(t))
My question is how to add the autoreggressive component of order one of vector (Y(t)) in the equation ? (THE NEW EQUATION BECAME Y(t)= A*Y(t-1)) +B*F(t)+ e(t))
hOW to implent this in winrats in dynamac factor model ?