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a3_4
2010 Sep 28
0
Time invariant coefficients in a time varying coefficients model using dlm package
Dear R-users,
I am trying to estimate a state space model of the form
(1) b_t = G * b_t-1 + w_t w_t ~ N(0,W)
(2) y_t= A' * x_t + H' * b_t + v_t v_t ~ N(0,V)
(Hamilton 1984: 372)
In particular my estimation in state space form looks like
(3) a3_t = 1 * a3_t-1 + w_t w_t ~ N(0,W)
(4) g_t = (a1, a2) * (1, P_t)' + u_t * a3_t + v_t v_t ~ N(0,V)
where g_t is the investment rate, P_t are profits and u_t is the
utilization rate. As you can see, I would like to estimate the
coefficient of the utilization rate in time-varying terms and...