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by kemal
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...

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