Dear Michel,
I am trying to build a state transition and measurement equation from the decision rules that DYNARE produces. I saw that the transition equation can be build giving the command kalman_transition_matrix(dr_)after stoch_simul. But what about the measurement equation?
Many thanks!
R.
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by MichelJuillard » Thu Feb 15, 2007 8:25 am
Dear Rossana,
the measurement equation is trivial:
y^*_t = Z*yhat_t + ybar^* + trend + measurement error
y^*t are the observed variables
ybar_t are the difference to the steady state obtained from the transition equation
Z is a selection matrix (which variables are observed)
ybar^* is the steady state for the observed variables
trend is the deterministic trend for the observed variables
Best
Michel
the measurement equation is trivial:
y^*_t = Z*yhat_t + ybar^* + trend + measurement error
y^*t are the observed variables
ybar_t are the difference to the steady state obtained from the transition equation
Z is a selection matrix (which variables are observed)
ybar^* is the steady state for the observed variables
trend is the deterministic trend for the observed variables
Best
Michel
- MichelJuillard
- Posts: 680
- Joined: Thu Nov 18, 2004 10:51 am
2 posts
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