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From |
Joshua Shindell <jshindell@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: State Space Model |

Date |
Tue, 20 Apr 2010 11:29:21 -0400 |

Thank you for the suggestion. After looking over the help files, the problem I am having is the syntax of how to specify the state equation so that the time series of the B(t) values, the sensitivites time series, is modeled as an ar(1) process. Thank you, Joshua A. Shindell . search state space Keyword search Keywords: state space Search: (1) Official help files, FAQs, Examples, SJs, and STBs Search of official help files, FAQs, Examples, SJs, and STBs [TS] time series . . . . . . . . . . . Introduction to time-series commands (help time) [TS] arima . . . . . . . ARIMA, ARMAX, and other dynamic regression models (help arima) [TS] sspace . . . . . . . . . . . . . . . . . . . . . . State-space models (help sspace) If one of these is not the answer, you might need to spell out why. Nick n.j.cox@durham.ac.uk Joshua Shindell 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 Naďm, 2005; Chapter 7, pp 223-237. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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