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2011 Dec 17
0
time-varying parameters kalman filter estimation problem using FKF package
...GGt)[3] or
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",...