Recent content by spirall

Thank you for reply. And what about likelihood estimation of coefficients of system matrices if the transition matrix T depends on some exogenous variables (I suppose this is possible)? I have one more question about dynamic factor model. I consider transformation approach (yL_t=A_L y_t)...

Hi all, I have a standard local level model, but the disturbances are not independent: y_t=μ_t+ε_t, μ_t+1=μ_t+η_t, E(ε_t η_t) =/= 0 In order to derive the Kalman filter, I rewrite this model in state space form y_t=Z_t α_t+ε_t, ε_t~NID(0,H_t ), α_(t+1)=T_t α_t+R_t η_t...