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st: how to get the dynamic multiplier for Kalman Filter after sspace
From
Edinaldo Tebaldi <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: how to get the dynamic multiplier for Kalman Filter after sspace
Date
Wed, 26 Jan 2011 21:54:14 -0500
I estimated a dynamic factor model using "sspace" and then used the Kalman Filter to obtain the "common component".
However, I need obtain the Dynamic Multipliers for the Kalman Filter, which (I think) are generated in intermediate calculations that are needed to calculate the common component. Is there a built-in function to do so? Do you have any suggestion on how to get the dynamic multipliers? Any help is greatly appreciated.
Thanks,
Edi
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