State Space - generate plot of unknown parameters.

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PMait
Posts: 5
Joined: Fri Jan 18, 2019 9:37 am

State Space - generate plot of unknown parameters.

Postby PMait » Fri Jan 18, 2019 10:16 am

I'm trying to estimate the following state space model:

@ename e1
@ename e2
@ename e3

@evar var(e1) = exp(c(1))
@evar var(e2) = exp(c(2))
@evar var(e3) = exp(c(3))

@signal cycle_gdp = alpha + beta*cycle_gdp(-1) + e1

@state alpha = alpha(-1) + e2
@state beta = beta(-1) + (c(4))*cycle_ratio + e3

How do I generate the time line plot of the unknown parameter c(4)?
Any help would be really appreciated.

Thanks.

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: State Space - generate plot of unknown parameters.

Postby startz » Fri Jan 18, 2019 1:47 pm

c(4) is an estimated constant. It doesn't very over time.


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