Yes
S+FinMetrics can handle a multivariate state space model. The specification
of the measurement and transition equations allow for a multivariate
response. I have some examples (see the term structure example in
particular) in my survey article "State Space Modeling in Macroeconomics and
Finance Using SsfPack in S+FinMetrics", which is available for download on
my webpage
http://faculty.washington.edu/ezivot/statespacesurvey.pdf
Can you be more specific about the type of VAR model that you want to
analyze?
ez
-----Original Message-----
From: s-news-owner@lists.biostat.wustl.edu
[mailto:s-news-owner@lists.biostat.wustl.edu] On Behalf Of ??
Sent: Monday, December 26, 2005 8:17 PM
To: s-news
Subject: [S] how to estimate var in multivariate state space
Dear sir:
I am a user of splus.I have S+FinMetrics,which can run the state-space
model.But I have some trouble when using it.I have a VAR model,and want to
estimate it with state-space form,but the book "Modelling Financial Time
Series with S-Plus" only gives the univariate state space model. I don't
know can S+FinMetrics deal with multivariate state space mode like
VAR,could you can give me a example for it?
thanks and happy new year!
madan@mail.swufe.edu.cn
2005-12-27
--------------------------------------------------------------------
This message was distributed by s-news@lists.biostat.wustl.edu. To
unsubscribe send e-mail to s-news-request@lists.biostat.wustl.edu with the
BODY of the message: unsubscribe s-news
|