Bordo, Michael D. (contributor); Dueker, Michael (contributor) - 2008
generic unobserved component state-space model with the
following state equation, where X are the observable variables and z … is the latent
unobserved component:
7
1
1
12
,
,
0
0
0100
0
ttX
zX zz
tz t
t
zt
X
XX XzXXc
zc z
zz
ε
ε
−
−
−−
ΦΦ …
t
t
X
X Iz
z
−
⎛⎞
⎜
=
⎜
⎜⎟
⎝⎠
⎟
⎟
(2)
As an example of the Qual-VAR approach …