estimating non-linear state space models
Andreas wrote:
I am trying to estimate the dynamic model for equity fund's alphas and betas described here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=389740 <http://papers.ssrn.com/sol3/papers.cfm?abstract_id=389740> . The nonlinear state space model is described by equations (6) and (11). (For those in a hurry: The one dimensional state follows an AR1 process. The observation equation has similarities with CAPM, but is extended to depend quadratically on the state) So far I have tried to work with the packages sspir and dse, but they don't seem to support non-linear models. I then tried to implement my own EKF code, it works for state estimation but so far I couldn't get the parameter and variance estimation running reliably.
You might try posting your code here, and being very specific about what help you need. That way everyone can benefit from an implementation of these models in R. Regards, - Brian