Search found 2 matches
- Tue Jul 07, 2020 11:41 pm
- Forum: Estimation
- Topic: State Space -Forcast
- Replies: 6
- Views: 10023
State Space Model-Auto Specification
I have a question about Auto-specification of State Space model. what is the difference between regressors with fixed or recursive coefficients? Why do we need to separate them into two categories? Given that recursive coefficient does not have a error term, it should be the same as fixed coefficien...
- Mon Jul 06, 2020 8:55 pm
- Forum: Estimation
- Topic: How to perform regression with random walk coefficients
- Replies: 16
- Views: 24217
Re: How to perform regression with random walk coefficients
I have a question about Auto-specification of State Space model. what is the difference between fixed and recursive coefficient? Given that recursive coefficient does not have a error term, it should be the same as fixed coefficient? why does the auto-specification separate regressor with fixed coef...