Re: How to perform regression with random walk coefficients
Posted: Wed May 18, 2011 5:56 am
by stasibab
I just reply to my question because i found it, in the forecast section is should be smoothing and not dynamic!
Hope this helps someone else too!
Re: How to perform regression with random walk coefficients
Posted: Mon Jul 06, 2020 8:55 pm
by hychen
I have a question about Auto-specification of State Space model. what is the difference between fixed and recursive coefficient? Given that recursive coefficient does not have a error term, it should be the same as fixed coefficient? why does the auto-specification separate regressor with fixed coefficient from regressors with recursive coefficient?
Thanks,
Hank