Signal equation estimate with OLS
Posted: Sat Aug 22, 2009 7:26 am
I want to estimate a mean rerverting model with kalman filter like :
@signal rs = sv1 + sv2*cds + [var = exp(c(1))]
@state sv1 = c(3) + c(4)*sv1(-1) + [var = exp(c(2))]
@state sv2 = c(6) + c(7)*sv2(-1) + [var = exp(c(5))]
for starting values i run OLS estimation on the signal equation : but the beta that i find it is just for c(3) and c(6) ? how can i find c(1) c(2) c(5) and c(4) c(7) ?
@signal rs = sv1 + sv2*cds + [var = exp(c(1))]
@state sv1 = c(3) + c(4)*sv1(-1) + [var = exp(c(2))]
@state sv2 = c(6) + c(7)*sv2(-1) + [var = exp(c(5))]
for starting values i run OLS estimation on the signal equation : but the beta that i find it is just for c(3) and c(6) ? how can i find c(1) c(2) c(5) and c(4) c(7) ?