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- Mon Jan 26, 2009 8:22 am
- Forum: Estimation
- Topic: Kalman Filter and State Space Definition
- Replies: 1
- Views: 8407
Kalman Filter and State Space Definition
I am trying to run a time-varying stock beta model. I define a measurement equation without constant since I use returns over risk free rate both for the stock and the market index. my measurement equation is as follows: rex_stock = beta*rex_market + error term I define want to define state equation...
