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Question
Including observed ( exogeneous predictor) matrix in the state equation of a state space model
I'm trying to estimate a state space model of the form x(t) = Ax(t-1) + Gz(t) + Bu(t) y(t) = Cx(t) + De(t) where z(t) i...
7 years ago | 0 answers | 0
0
answersQuestion
Does SSM function in Matlab use kalman filter estimation as a default of calculation?
Does SSM function use kalman filter estimation as a default of calculation? Please kindly enlighten me. Thank you.
7 years ago | 0 answers | 0
0
answersQuestion
How to create state space model with contemperaneous latent variable?
My SSM is following this structure. P = M + S ; M = Mt-1 + W ; S = f(x) ; P = Observed Variable, while others are latent...
7 years ago | 0 answers | 0
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answersQuestion
How to command state space model with many endogenous variables (y) and exogenous matrix for control variables?
I would like to work on state space model with multi Y. Do anyone know how to command it on MATLAB? The example in econometric t...
7 years ago | 0 answers | 0
