Hi, could somebody please help me clarify this point? Thank you in advance for the help.
I am estimating a state space model of this kind:
@SIGNAL D(log(prod)) = SV1 + c(1)*Gap + [VAR=EXP(C(2))]
@STATE SV1 = c(3)*SV1(-1) + [VAR=EXP(C(4))]
c(1) is a fixed regression coefficient. How is it estimated c(1) in State Space framework? Is it obtained via Maximum likelihood (ML) or OLS?
I think that only unobservable components and variances are estimated via ML, because if I run an OLS of this kind:
D(log(prod)) = sv1 + c(1)*Gap,
c(1) in OLS and in state space are equal. Thank you.
State space estimation
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startz
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Re: State space estimation
Maximum likelihood.
But, of course, in some circumstances OLS and MLE are the same thing.
But, of course, in some circumstances OLS and MLE are the same thing.
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