state space model/dynamic factor model
Posted: Wed Aug 21, 2013 12:18 pm
Hi.
I need to estimate the following state space model:
Y(t) = A*Y(t-1) + B*Z(t) + v(t)
Z(t) = D*Z(t-1) + e(t)
Z(t) is a vector of unobservable factors. Y(t-1) is the lag of Y(t).
A is a diagonal matrix:
a1, 0, 0
0, a2, 0
0, 0, a3
Assume that Y(t) is the GDP of the UK, France and Germany, respectively.
Do anyone know what is the code of this state space model?
Thank you so much for the help!
I need to estimate the following state space model:
Y(t) = A*Y(t-1) + B*Z(t) + v(t)
Z(t) = D*Z(t-1) + e(t)
Z(t) is a vector of unobservable factors. Y(t-1) is the lag of Y(t).
A is a diagonal matrix:
a1, 0, 0
0, a2, 0
0, 0, a3
Assume that Y(t) is the GDP of the UK, France and Germany, respectively.
Do anyone know what is the code of this state space model?
Thank you so much for the help!