On Tue, 2011-06-07 at 17:24 +0100, Michael Ash wrote: > This question pertains to setting up a model in the package "dlm" > (dynamic linear models, > http://cran.r-project.org/web/packages/dlm/index.html
The author of the dlm package has just published a paper on state space models in R including details on setting up dlm: http://www.jstatsoft.org/v41/i04 That might help with your question - I haven't seen a reply on list, but am unable to help answer it either. HTH G > I have read both the vignette and "An R Package for Dynamic Linear > Models" (http://www.jstatsoft.org/v36/i12/paper), both of which are > very helpful. There is also some discussion at > https://stat.ethz.ch/pipermail/r-help/2009-May/198463.html > > I have what I think is a relatively straightforward state-space model > but am unable to translate it into the terms of dlm. It would be > very helpful to get a basic dlm setup for the problem and I would > guess that I can then modify it with more lags, etc., etc. > > The main equation is > pi[t] = a * pi[t-1] + b*(U[t] - UN[t]) + e[t] > > (see > http://chart.apis.google.com/chart?cht=tx&chl=%5Cpi_t=a%5Cpi_{t-1}%2bb%28U_t-U^N_{t}%29%2Be_t > for a pretty version) > > with pi and U observed, a and b fixed coefficients, and e a > well-behaved error term (gaussian, say, variance unknown). > The object of interest is the unobserved and time-varying component UN > which evolves according to > > UN[t] = UN[t-1] + w[t] > > (see > http://chart.apis.google.com/chart?cht=tx&chl=U%5EN_%7Bt%7D%20=%20U%5EN_%7Bt-1%7D%20%2B%20%5Cepsilon_t > for a pretty version) > that is, a random walk with well-behaved error term with var(w) known > (or assumed). > > I'm interested in the estimates of a and b and also in estimating the > time series of UN. > > Note that the term b*(U[t] - UN[t]) makes this a nonlinear model. > > Below is code that does not work as expected. I see the model as > having four parameters, a, b, var(e), and UN. (Or do I have a > parameter UN[t] for every period?) > > I do not fully understand the dlm syntax. Is FF specified properly? > What should X look like? How does m0 relate to parm()? > > > I would be grateful if someone would be willing to glance at the code. > Thanks. Michael > > library(quantmod) > library(dlm) > ## Get and organize the data > getSymbols("UNRATE",src="FRED") ## Unemployment rate > getSymbols("GDPDEF",src="FRED") ## Quarterly GDP Implicit Price Deflator > u <- aggregate(UNRATE,as.yearqtr,mean) > gdpdef <- aggregate(GDPDEF,as.yearqtr,mean) > pi <- diff(log(gdpdef))*400 > pilag <- lag(pi,-1) > tvnairu <- cbind(pi,pilag,u) > tvnairu.df <- subset(data.frame(tvnairu), !is.na(pi) & !is.na(u) & > !is.na(pilag)) > > > ## First attempt > buildNAIRU <- function(x) { > modNAIRU <- dlm(FF=t(matrix(c(1,1,1,0))), > GG=diag(4), > W=matrix(c(0,0,0,0, 0,0,0,0, 0,0,0.04,0, 0,0,0,0),4,4), > V=exp(x[4]), m0=rep(0,4), C0=diag(1e07,4), > JFF = t(matrix(c(1,1,0,0))), > X=cbind( tvnairu.df$pilag, tvnairu.df$u)) > return(modNAIRU) > } > > (fitNAIRU <- dlmMLE(tvnairu.df$pi, parm=c(0,0,0,0) , build=buildNAIRU, > hessian=TRUE, control=list(maxit=500))) > (dlmNAIRU <- buildNAIRU(fitNAIRU$par)) > > > ## Second attempt > buildNAIRU <- function(x) { > modNAIRU <- dlm(FF=t(matrix(c(1,1,0,0))), > GG=diag(4), > W=matrix(c(0,0,0,0, 0,0,0,0, 0,0,0.04,0, 0,0,0,0 ),4,4), > V=exp(x[4]), m0=c(0.7,-0.3,5,1), C0=diag(100,4), > JFF = t(matrix(c(1,1,0,0))), > X=cbind( tvnairu.df$pilag, tvnairu.df$u - x[3] )) > return(modNAIRU) > } > > (fitNAIRU <- dlmMLE(tvnairu.df$pi, parm=c(0,0,0,0) , build=buildNAIRU, > hessian=TRUE, control=list(maxit=500))) > (dlmNAIRU <- buildNAIRU(fitNAIRU$par)) > > ______________________________________________ > 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. -- %~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~% Dr. Gavin Simpson [t] +44 (0)20 7679 0522 ECRC, UCL Geography, [f] +44 (0)20 7679 0565 Pearson Building, [e] gavin.simpsonATNOSPAMucl.ac.uk Gower Street, London [w] http://www.ucl.ac.uk/~ucfagls/ UK. WC1E 6BT. [w] http://www.freshwaters.org.uk %~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~% ______________________________________________ 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.
