Hi, I'm trying to estimate a SS model, and it seems to me that, when I try to estimate variance, the values vary significantly according to the coefficient I use. In other words, if in one model I estimate the variance as [var=exp(c(2))], and in the other one as [var=exp(c(20))] the results are completely different, even for the space estimation. I attach a workfile in which I put 3 state space models that have the very same structure and use the very same data, but different completely as the coefficients are different.
Could somebody explain me why that happens?
Many thanks
State Space issue
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State Space issue
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- sspace.wf1
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- Non-normality and collinearity are NOT problems!
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Re: State Space issue
One possibility is different starting values in c(2) versus in c(20).
Re: State Space issue
Thanks for the answer... I've also thought of that, but even if I try to impose priors I get the same results. I don't understand how the number put in the brackets of c() would change the estimations.
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: State Space issue
Yes, you may find it in the first post. I attach it again just to be sure
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- sspace.wf1
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13306
- Joined: Tue Sep 16, 2008 5:38 pm
Re: State Space issue
Sorry, early morning - missed it in the first post.
Anyway, if I open up ss01 and ss02, and estimate both (setting C=1 before estimating each), I obtain identical results.
As Startz said, it is just a starting value issue.
Anyway, if I open up ss01 and ss02, and estimate both (setting C=1 before estimating each), I obtain identical results.
As Startz said, it is just a starting value issue.
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Re: State Space issue
Oh thanks, I've completely misunderstood what startz was saying... now it works fine
Thank you!
Thank you!
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