kalman filter
Posted: Thu Apr 28, 2016 6:56 am
please help!
i'm trying to estimate this model based on Harvey and Jaeger (1993) but it doesn't run!!
@signal log(y_cocoa)=trend+cycle+[var=exp(c(2))]
@state trend=trend(-1)+beta+[var=exp(c(3))]
@state beta=beta(-1)+[var=exp(c(4))]
@state cycle=rho*@cos(lamda)*cycle(-1)+rho*@sin(lamda)*cycle_star(-1)+[var=exp(c(5))]
@state cycle_star=rho*@cos(lamda)*cycle_star(-1)-rho*@sin(lamda)*cycle(-1)+[var=exp(c(6))]
you can find the error msg enclosed.
i'm a beginner and i don't know if i've forgotten some details. i need your advice please.
i'm trying to estimate this model based on Harvey and Jaeger (1993) but it doesn't run!!
@signal log(y_cocoa)=trend+cycle+[var=exp(c(2))]
@state trend=trend(-1)+beta+[var=exp(c(3))]
@state beta=beta(-1)+[var=exp(c(4))]
@state cycle=rho*@cos(lamda)*cycle(-1)+rho*@sin(lamda)*cycle_star(-1)+[var=exp(c(5))]
@state cycle_star=rho*@cos(lamda)*cycle_star(-1)-rho*@sin(lamda)*cycle(-1)+[var=exp(c(6))]
you can find the error msg enclosed.
i'm a beginner and i don't know if i've forgotten some details. i need your advice please.