initial conditions in SSPACE
Posted: Wed May 23, 2018 8:55 am
I am estimating the following state space after estimating by ols and want to use as initial conditions for the SSPace the ols residual variance of C(2) and for C(3)
But the @param only allows number but not scalar
equation eq1.ls rcpetrobras_on c rcibovespa
scalar ols_petrobras_pn=eq1.@coef(2)
scalar c1 = eq1.@coef(1)
scalar c2 = (eq1.@se)^2
scalar c3 = c2/2
series beta_ols_petrobras_pn=ols_petrobras_pn
' tvp for petrobras_pn
sspace sspetrobras_pn
sspetrobras_pn.append @signal rcpetrobras_pn = c(1) + sv1*rcibovespa+[var = c(2)]
sspetrobras_pn.append @state sv1 = sv1(-1) + [var = c(3)]
sspetrobras_pn.append @param C(2) c2 C(3) c3
sspetrobras_pn.ml
But the @param only allows number but not scalar
equation eq1.ls rcpetrobras_on c rcibovespa
scalar ols_petrobras_pn=eq1.@coef(2)
scalar c1 = eq1.@coef(1)
scalar c2 = (eq1.@se)^2
scalar c3 = c2/2
series beta_ols_petrobras_pn=ols_petrobras_pn
' tvp for petrobras_pn
sspace sspetrobras_pn
sspetrobras_pn.append @signal rcpetrobras_pn = c(1) + sv1*rcibovespa+[var = c(2)]
sspetrobras_pn.append @state sv1 = sv1(-1) + [var = c(3)]
sspetrobras_pn.append @param C(2) c2 C(3) c3
sspetrobras_pn.ml