Sample size for state space modeling

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Max
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Joined: Thu Aug 20, 2015 7:46 am

Sample size for state space modeling

Postby Max » Tue Feb 07, 2017 7:28 am

Hello everyone,
I was wondering if some of you were aware of a "rule of thumb" concerning state space model's sample size?
I work on a monthly dataset, with 9 observations (inputs in my signal equations), and I have 37 parameters to estimate, I would like to employ a "rolling" SSPACE, but do not know if 3 years of data would be enough (9*12*3=324 obs). What do you reckon? Any materials treating that question would be much appreciated.
Thanks a lot in advance

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