state space model (NEED HELP)

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Dim
Posts: 9
Joined: Wed Dec 07, 2011 3:35 pm

state space model (NEED HELP)

Postby Dim » Thu Dec 15, 2011 10:37 am

Hi everyone,

I'm trying to construct a state space model based on an AR model of the dependent variable. My state space model should be relatively simple since I have only one explicative variable which as a time-varying coefficient. I want to estimate the elasticity of this explicative variable (decomposed in a mean coefficient and a time-varying coefficient). My model is in the following attached file.

I don't know how to code it! Could anyone help me?

Thanks!

D.
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