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st: State Space Model


From   Joshua Shindell <jshindell@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: State Space Model
Date   Tue, 20 Apr 2010 09:01:04 -0400

Hello Statalist,

I am looking to estimate a state space model of the following form:

Y(t)  = X(t)B(t) + e(t)    -  Observation Equation

B(t) = Z*B(t-1) + u(t)    -  State Equation

I am unable to specify the state equation as a function of the previous periods.

To understand the context of what I am trying to do, I am trying to
estimate stock Beta coeffiecients with a stochastic parameter
regression model using a Kalman filter, as outlined in Applied
Quantitative Methods for Trading and Investment, by Christian L.
Dunis, Jason Laws, Patrick Naïm, 2005; Chapter 7, pp 223-237.

Thank you for any help or suggestions,

Joshua A. Shindell

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