st: State Space Model

[Joshua Shindell <jshindell@gmail.com>]

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.


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