Kalman Filter Series
Posted: Wed Jan 19, 2011 10:35 am
Hello. Thank you for the help here.
I wanted to ask you if there is a way to get the series from a State Space representation as spreadsheet. The thing is that I am using the Kalman Filter to get an estimation for an unobserved series, and now I want to estimate the correlation between that unobserved factor and the actual data. ¿Is there a way to get the series for this unobserved component as spradsheet and/or to estimate the correlation between it and the actual series?
I know there is a command "@sm_state" but I just can´t make it work, sure I am doing something wrong.
Thank you very much!
I wanted to ask you if there is a way to get the series from a State Space representation as spreadsheet. The thing is that I am using the Kalman Filter to get an estimation for an unobserved series, and now I want to estimate the correlation between that unobserved factor and the actual data. ¿Is there a way to get the series for this unobserved component as spradsheet and/or to estimate the correlation between it and the actual series?
I know there is a command "@sm_state" but I just can´t make it work, sure I am doing something wrong.
Thank you very much!