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- Tue Nov 03, 2015 10:22 am
- Forum: Estimation
- Topic: State space model - Three factor model
- Replies: 0
- Views: 1659
State space model - Three factor model
I am trying to estimate a state space model (three factor model) in Eviews 7 but I am having a hard time defining the state equations. The signal equation is: i(t) = a + B*x(t) + n(t) Where "i(t)" is a Qx1 vector of observed data; "a" is a Qx1 coefficient vector; "B" is...