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a2_4
2010 Sep 28
0
Time invariant coefficients in a time varying coefficients model using dlm package
...only allows for
specifications of the form
(5) b_t = 1 * b_t-1 + w_t w_t ~ N(0,W)
(6) y_t = F_t * b_t + v_t v_t ~ N(0,V)
where b_t is the vector of parameters. Hence, it does not allow me to
take parameters as time-invariant. In terms of my investment
specification this reads
(7) (a1_t, a2_t, a3_t)' = diag(3) * (a1_t-1, a2_t-1, a3_t-1)' + w_t
w_t ~ N(0,W)
(8) g_t = (1, P_t, u_t) * (a1_t, a2_t, a3_t)' + v_t v_t ~ N(0,V)
As far as I understand state space modeling the following restrictions
on the Variance-covariance matrix W should imply a1_t=a1 and a2_t=a2
which is ti...