求教一个卡尔曼滤波状态空间模型的问题

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想用状态空间模型做一个生产率的测算，<br/>@signal dlny=tpf1+c(1)*dlnk+c(2)*dlnl+[var=exp(c(3))]<br/>@state tpf1=c(4)*tpf1(-1)+[var=exp(c(5))]<pre>结果总是出现：WARNING: Singular covariance - coefficients are not unique，系数也不能估计。请高手指点一下，万分感谢。</pre><p class="MsoNormal"><br/><span style="font-size: 12pt; font-family: 宋体;"><span lang="EN-US"><op></op></span></span></p>

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关键词：状态空间模型 卡尔曼滤波 状态空间 卡尔曼 coefficients 卡尔 空间 模型

我也碰到跟楼主一样的问题

我的模型是

@signal   li=c(1)+itr1*lmr(-2)+[var=exp(c(2))]

@state   itr1=c(3)+c(4)*itr1(-1)+[var=exp(c(5))]

也出现跟楼主一样的WARNING

求高手指教，不胜感激！！！

@signal 这个量测方程必须是同期状态向量的线性方程

所以一楼的问题应该是进行了差分？猜测的，看见你有一个dlny

二楼是不是因为lmr(-2）的原因，滞后两期之后面板不平衡？

我也正在学习，有不对的地方大家指出来

高手解释一下一楼和二楼的问题吧.把帖子顶起来

1# yang09 [/b
应该要初始语句的

顶顶顶

没有回答

请问楼主解决了吗，后面VAR这个式子是表示什么呢