simple question
Posted: Thu Nov 21, 2013 6:37 am
I would like to estimate this model with state space object
SARIMA(1,1,1)*(1,0,1)*12
@signal dlog(y) = c(1) + sv1 + c(4)*sv2+c(5)*sv13+c(4)*c(5)*sv14
@state sv1 = c(2)*sv1(-1) +c(3)*sv12(-1)+ [var = exp(c(6))]
@state sv2 = sv1(-1)
@state sv3 = sv2(-1)
@state sv4 = sv3(-1)
@state sv5 = sv4(-1)
@state sv6 = sv5(-1)
@state sv7 = sv6(-1)
@state sv8 = sv7(-1)
@state sv9 = sv8(-1)
@state sv10 = sv9(-1)
@state sv11= sv10(-1)
@state sv12= sv11(-1)
@state sv13 = sv12(-1)
@state sv14 = sv13(-1)
is this true or false?
SARIMA(1,1,1)*(1,0,1)*12
@signal dlog(y) = c(1) + sv1 + c(4)*sv2+c(5)*sv13+c(4)*c(5)*sv14
@state sv1 = c(2)*sv1(-1) +c(3)*sv12(-1)+ [var = exp(c(6))]
@state sv2 = sv1(-1)
@state sv3 = sv2(-1)
@state sv4 = sv3(-1)
@state sv5 = sv4(-1)
@state sv6 = sv5(-1)
@state sv7 = sv6(-1)
@state sv8 = sv7(-1)
@state sv9 = sv8(-1)
@state sv10 = sv9(-1)
@state sv11= sv10(-1)
@state sv12= sv11(-1)
@state sv13 = sv12(-1)
@state sv14 = sv13(-1)
is this true or false?