Grocer Function

NAME

tvp - Time varying parameters estimation

CALLING SEQUENCE

[rtvp]=tvp(namey,varargin)

PARAMETERS

Input

Output

DESCRIPTION

Time-varying parameter maximum likelihood estimation of the linear regression model          y(t) = X(t)*B(t) + e(t), e(t) = N(0,R)          B(t) = B(t-1) + v(t),    v(t) = N(0,Q) NOTE: the methods '1a' and '2a' are not very robust; so I recommend to use them with much caution!

EXAMPLE

r1=tvp('con','inc','cte','R=sigu','Q=0.1*eye(2,2)','priorb0=b','priorv0=100000*eye(2,2)','tvpmeth=1') Example taken from function tvp_d1. Here the variance of the innovations of the time varying coefficients is assumed to be diagonal and there is a diffuse prior for starting values (tvpmeth=1); endogenous variable is 'con', the exogenous ones are'inc' and 'cte'; starting values are given for R, Q and priorb0; priorv0 is imposed.

AUTHOR

Eric Dubois 2002