Re: [Gretl-users] Estimation of a State Space Model with Exogenous Variables in the State Transition Equation
On Fri, 21 Aug 2015, Fernando Fernandes Neto wrote:
Dear Sven,
Thanks a lot for your attention.
What you've commented makes a lot of sense to me. So actually, I would have
a vector of Time Varying Coefficients (that would be my exogenous
variables), and a vector of unitary constants, being added to the State?
In any case, I'd be very happy if Jack could help me out.
I'll take a look later today or tomorrow.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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