Hi all,
I'm working on a term structure estimation using state-space modeling for
1, 2 and 3 factor models.
When I started to read the functions on R, I got to the function ss on the
library sspir. From what I
understood this function is similar to SsfFit from S-PLUS. But for my models
purpose there is something
left to be desired. Its formulation follow these equations:
*Y_t = F_t^T * theta_t + v_t, v_t ~ N(0,V_t)*
*theta_t = G_t * theta_{t-1} + w_t, w_t ~ N(0,W_t)*
Actually I wanted to add these two functions (-logA and a)
Y(t) = -log(A(t))/tau + (B(t)/tau) * X(t) + Error (measurement equation)
X(t) = a(t) + b(t) * X(t-1) + Error (Transition
Equation)
Have anyone tried something like that?
Best regards,
Bernardo
*
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