kalman filter for panel data
Posted: Thu Feb 05, 2009 1:19 am
Hi
now i'm use EViews5.1 for data analysis purpose.
and my problem is i must use kalman filter technique.
my model is nelson-siegel, this model try to estimate yield curve in term of 3 betas
so each observation i will have 19 datas for 19 maturities, and all i have 90 observations , it's look like panel data rigth?
my measurement equation is
Yield = F1*Beta1 + F2*Beta2 + F3*Beta3
(Yield, F1,F2,F3 is vary on maturities)
and the state equation is
Beta1 = Beta1(-1), AR(1)
Beta2 = Beta2(-1), AR(1)
Beta3 = Beta3(-1), AR(1)
How can i deal with this data? ( now i define data into panel data and try to forecast but it doesn't work well )
now i'm use EViews5.1 for data analysis purpose.
and my problem is i must use kalman filter technique.
my model is nelson-siegel, this model try to estimate yield curve in term of 3 betas
so each observation i will have 19 datas for 19 maturities, and all i have 90 observations , it's look like panel data rigth?
my measurement equation is
Yield = F1*Beta1 + F2*Beta2 + F3*Beta3
(Yield, F1,F2,F3 is vary on maturities)
and the state equation is
Beta1 = Beta1(-1), AR(1)
Beta2 = Beta2(-1), AR(1)
Beta3 = Beta3(-1), AR(1)
How can i deal with this data? ( now i define data into panel data and try to forecast but it doesn't work well )