state space model (NEED HELP)
Posted: Thu Dec 15, 2011 10:37 am
Hi everyone,
I'm trying to construct a state space model based on an AR model of the dependent variable. My state space model should be relatively simple since I have only one explicative variable which as a time-varying coefficient. I want to estimate the elasticity of this explicative variable (decomposed in a mean coefficient and a time-varying coefficient). My model is in the following attached file.
I don't know how to code it! Could anyone help me?
Thanks!
D.
I'm trying to construct a state space model based on an AR model of the dependent variable. My state space model should be relatively simple since I have only one explicative variable which as a time-varying coefficient. I want to estimate the elasticity of this explicative variable (decomposed in a mean coefficient and a time-varying coefficient). My model is in the following attached file.
I don't know how to code it! Could anyone help me?
Thanks!
D.