Search found 3 matches

by Yosr Ben Hmidène
Sat Nov 17, 2018 1:36 am
Forum: Econometric Discussions
Topic: is this a local level state space model or a linear gaussian model
Replies: 0
Views: 3598

is this a local level state space model or a linear gaussian model

I'm wondering if I can use the standard linear gaussian kalman smoother algorithm if I have an interaction between a deterministic and a stochastic elements of the state vector in the measurement equation as presented in the attachement ?
1239985_342701502541751_841588737_n.jpg
1239985_342701502541751_841588737_n.jpg (73.28 KiB) Viewed 3467 times
by Yosr Ben Hmidène
Sun Sep 30, 2018 9:52 am
Forum: Estimation
Topic: Using Midas to estimate a Garch-Midas model
Replies: 9
Views: 4252

Re: Using Midas to estimate a Garch-Midas model

Hi ! I'll be using garch-midas for my master thesis. Since it doesn't exist on Stata/ EViews, I'll be using R studio instead. I need some help ! Can we get in touch through emails/ facebook ?
by Yosr Ben Hmidène
Sun Sep 30, 2018 9:49 am
Forum: Estimation
Topic: Using Midas to estimate a Garch-Midas model
Replies: 9
Views: 4252

Re: Using Midas to estimate a Garch-Midas model

hi dude, I will use Garch-Midas model too. well you can use this model on matlab r2015b, there is a toolbox you should add it too after you set up the matlab. https://www.mathworks.com/matlabcentral/fileexchange/45150-midas-matlab-toolbox hey can we touch when we use this program, because I have som...

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