john black wrote: > > I've been using Proc Autoreg in SAS to regress a dependent variable on > time. Proc Autoreg takes care of the serial correlation in the error > term (I'm specifying an AR1 model). PA computes predicted values based > on the structural model and the full model. The structural piece uses > only the parameter estimates of the independent variables (no error > terms). The full model adds back the AR1 error term to the model. > > I'm having trouble reconciling the computation of the 1st predicted > value for the full model. SAS uses a Kalman filter to do this, and the > calculation appears complex. Can anyone explain how the calculation is > done for a simple (y regressed on time w/AR1 error term) regression, and > refer me to a good reference source. I have Hamilton's "Time Series > Analysis," but the discussion of the topic is convoluted. I'm looking > for a more basic intro to the topic. > > Thank you in advance, > > JBB
There are a lot of references for Kalman filters. The best source certainly is Peter S. Maybeck: ..Estimation and Control (first volume). Others would be Gelb: Applied optimal estimation, Jazwinski: Optimal Filtering,...
Christoph
[此贴子已经被作者于2005-4-4 2:27:01编辑过]