In this example, the log likelihood function of the SSM is computed using prediction error decomposition. The annual real GNP series, y t, can be decomposed as where ...
This example and notation are taken from Bard (1974). A two-equation model is used to fit U.S. production data for the years 1909-1949, where z 1 is capital input, z 2 is labor input, z 3 is real ...
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