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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 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 * * 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/