Search found 3 matches
- Wed Jul 01, 2009 9:10 pm
- Forum: Estimation
- Topic: State space and logarithm scale of data
- Replies: 0
- Views: 2201
State space and logarithm scale of data
Dear Forum I'd like to ask several basic questions about the observation equation of state space. Is there a must of using variable in logarithm scale on observation equation of SS? such as Log(Passanger), Log(GDP), etc. Why? Does the answer related to the Gaussian white noise process? thanks in adv...
- Mon May 25, 2009 5:38 pm
- Forum: Estimation
- Topic: Kalman Filter and Volatility Generating
- Replies: 2
- Views: 5339
Re: Kalman Filter and Volatility Generating
Kalman Filter is a new topic for me.. Could anyone give any suggestions for me to solve my problem about Kalman Filter?
- Sat May 23, 2009 9:56 pm
- Forum: Estimation
- Topic: Kalman Filter and Volatility Generating
- Replies: 2
- Views: 5339
Kalman Filter and Volatility Generating
Dear Forum Participants, I'm Rika. I'd like to use Kalman Filter model for generating the volatility series of eight financial variables. Each variables will be estimated separately. One of the variables that will be estimated is the banking non performing loan (NPL).What I understand about Kalman F...