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- Sun Jul 29, 2012 2:33 pm
- Forum: Estimation
- Topic: VECM state space form specification
- Replies: 1
- Views: 2098
VECM state space form specification
Hello everyone!! I would like to estimate a VECM with time varying factor loadings. The VECM is the one in the attachment with the equations (1.1) and (1.2) as signal equations and equations (1.3) and (1.4) as the state equations. I am trying to estimate the time-varying factor loadings lambda, but ...