Dear r-users! I have another question regarding the dlm package and I would be very happy if someone could give me a hint!
I am using the dlm package to get estimates for an endogenous rate of capacity utilization over time. The general form of a state space model is (1) b_t = G * b_t-1 + w_t w_t ~ N(0,W) (2) y_t= A' * x_t + H' * b_t + v_t v_t ~ N(0,V) (Hamilton 1984: 372) The investment function I would like to use for estimating my endogenous capacity utilization rate looks like (3) g_t = x[1] + x[2]*(u_t-un_t) + x[3]*r + v_t where g_t is the investment rate, r_t is the profit rate, u_t is the actual utilization rate and un_t is the 'normal' utilization rate which I take as endogenous (=time varying). x[i] are parameters. I'm particularly interested in this endogenous normal utilization rate. How can I specify a state space model which allows me to estimate it and is consistent with the structure of the state space models in the dlm package? In the form found in Hamilton my system would look like (4) un_t = x[4] * un_t-1 + w_t w_t ~ N(0,W) (5) g_t = (x[1],x[2],x[3]) * (1,u_t,r_t)' + x[2] * un_t + v_t v_t ~ N(0,V) which theoretically can be estimated even with the restriction that the parameters of u_t and un_t have opposite signs, but are otherwise equal. But how can I do this with the plm package which requires a model of the following form: (6) b_t = G * b_t-1 + w_t w_t ~ N(0,W) (7) y_t = F * b_t + v_t v_t ~ N(0,V) How can I write my model in the form of (6) and (7) such that my state vector includes un_t and I can get estimates for the normal rate of capacity utilization?? I would be very grateful for any help, cause I've been sitting on this issue for a while! Christian ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
