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u8_t
2010 Oct 06
1
dlm package: how to specify state space model?
...ral form of a state space model
is
(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)
The investment function I would like to use for estimating my endogenous
capacity utilization rate looks like
(3) g_t = x[1] + x[2]*(u_t-un_t) + x[3]*r + v_t
where g_t is the investment rate, r_t is the profit rate, u_t is the
actual utilization rate and un_t is the 'normal' utilization rate which
I take as endogenous (=time varying). x[i] are parameters. I'm
particularly interested in this endogenous normal utilization rate...