Displaying 2 results from an estimated 2 matches for "betat".
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2012 Jan 23
1
Jags problem
Hi, all:
I met "Non-conforming parameters for function %*%" problem, when I run the
Jags model in R.
My model is like this:
model{
for(i in 1:n){
for(j in 1:t[i]){
et[i,j]<-yt[i,j]-beta0+betax*xt[i,j]+betat*t[i,j]
}
for(a in 1:t[i]){
for(b in 1:t[i]){
sigma[i,a,b]<-pow(rho0,abs(t[a]-t[b]))
}
}
phi[i]<- -log(exp(-(et[i,1:t[i]])%*%inverse(sigma[i,
1:t[i],1:t[i]])%*%t(et[i,1:t[i]])))+10000
zeros[i]~dpois(phi[i])
}
beta0~dnorm(0,1)
betat~dnorm(0,1)
beta...
2011 Dec 17
0
time-varying parameters kalman filter estimation problem using FKF package
...r
dim(yt)[2] is/are neither equal to 1 nor equal to 'n'!
Here is the R code that generated this error
# Fitting time-varying parameter CAPM to BP stock
# let rt denote adjusted daily returns on a stock
# let rmt denote daily returns on the appropriate benchmark e.g. SP500
# rt = alphat + betat * rmt + et
# alphat = alphat_1 + n1t
# betat = betat_1 + n2t
# where et ~ N(0,H)
# (n1t,n2t) ~ N(0,Q)
#load required packages
library(tseries)
library(FKF)
# load data
FTSE100 <- get.hist.quote(instrument = "^FTSE", start = "2007-01-01", quote
= "Close", retclas...