Displaying 2 results from an estimated 2 matches for "dx_t".
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dx_et
2010 Mar 11
1
VAR with contemporaneous effects
Hi,
I would like to estimate a VAR of the form:
Ay_t = By_t-1 + Cy_t-2 + ... + Dx_t + e_t
Where A is a non-diagonal matrix of coefficients, B and C are matricies of
coefficients and D is a matrix of coefficients for the exogenous variables.
I don't think the package {vars} can do this because I want to include
contemporaneous cross-variable impacts.
So I want y1_t to affec...
2007 Mar 22
2
dynamic linear models in R
...it of a dynamic linear model to
produce a time series of parameter estimates, not just single
coefficients as that function seems to generate.
Could anyone help me understand what's going on here?
Thanks,
Johann
P.S. What I really want to do is fit a linear regression of the form
dz_t ~ 0 + dx_t + dy_t, but where the coefficients of dx and dy are
allowed to slowly evolve over time. DLMs seem appropriate to this,
but I'm open to any other suggestions, as I've not found much support
for DLMs in R.