State space specification
Posted: Sun Mar 27, 2011 12:55 pm
Hi,
I cannot deal with specifying the following model
R(t)= c + beta(t)*M + error
beta(t)= X(t) + Y(t)
X(t) = X(t-1) + error
Y(t) = gamma*Y(t-1) + error
X and Y are the two components. X is the random walk, Y - AR(1) processs.
I don't know how to specify in EViews the state equation:
beta(t)= X(t) + Y(t)
Can anybody give me some hint?
I cannot deal with specifying the following model
R(t)= c + beta(t)*M + error
beta(t)= X(t) + Y(t)
X(t) = X(t-1) + error
Y(t) = gamma*Y(t-1) + error
X and Y are the two components. X is the random walk, Y - AR(1) processs.
I don't know how to specify in EViews the state equation:
beta(t)= X(t) + Y(t)
Can anybody give me some hint?