Search found 2 matches
- Mon Jul 16, 2012 12:42 pm
- Forum: Estimation
- Topic: State Space Modeling Advice
- Replies: 8
- Views: 6398
Re: State Space Modeling Advice
Great and thanks! Now that the signal equation is correct, and I have run the model, the estimation of parameters results in singular covariance and no unique solution. Is there an option to change how initial parameters are selected (perhaps by OLS regression?) in running the state space model in E...
- Mon Jul 16, 2012 6:19 am
- Forum: Estimation
- Topic: State Space Modeling Advice
- Replies: 8
- Views: 6398
State Space Modeling Advice
Hi, I'm trying to run this Kalman Filter Estimation based upon a Pindyck paper regarding the long-run evolution of energy prices over time (1998). pindyck.docx (this attachment is just a shot of the equation in the document) Signal Equation: P_t = Constant + Constant*P_t-1 + Phi1,t + time*Phi2,t +e_...