Hello!
I am very new to the State Space modelling, and probably will ask easy questions.
I have @signal exrate = c(1) + b1*(brent) + c(5)*baserate + [var=exp(c(2))]. and @state b1= b1(1) + [var=exp(c(3))]
what is c(2)? I cannot understand
Also in setting initial values for example using param c(1) 0.0006 c(2) 8.5, c(3) 7 , should these 0.0006, 8.5 be the initial values of each time series for example for c(1) this is the first value of exrate? or should I take as initial values the means of the time series? and a special note on c(2) which inital value should I put for it as it is specified as [var=exp(c(2))]?
Sorry and
Thanks,
Altyn
State Space Model Initial conditions
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Re: State Space Model Initial conditions
AltynayUssem wrote:Hello!
I am very new to the State Space modelling, and probably will ask easy questions.
I have @signal exrate = c(1) + b1*(brent) + c(5)*baserate + [var=exp(c(2))]. and @state b1= b1(1) + [var=exp(c(3))]
what is c(2)? I cannot understand
Also in setting initial values for example using param c(1) 0.0006 c(2) 8.5, c(3) 7 , should these 0.0006, 8.5 be the initial values of each time series for example for c(1) this is the first value of exrate? or should I take as initial values the means of the time series? and a special note on c(2) which inital value should I put for it as it is specified as [var=exp(c(2))]?
Sorry and
Thanks,
Altyn
The c vector gives initial guesses of parameter valuesnothing to do with initial values of a series. c(2) is a guess as to the log of the variance of shocks to exrate. c(1) is a guess as to the intercept in the equation.
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