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Bayesian and state space stuff

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  • Sanjay Chugh
    Hey all, Thanks to all those who offered help with state space and Kalman filter material. I m still going over my Bayesian methods section of my econometrics
    Message 1 of 1 , Sep 1, 2000
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      Hey all,

      Thanks to all those who offered help with state space and Kalman
      filter material. I'm still going over my Bayesian methods section of
      my econometrics class, but I plan to finally revisit state space
      models and VARS and Kalman filtering in the next couple of days.

      I don't even know enough about the latter material at this point to
      ask concrete questions, so let me ask this: what is the basic
      idea/point of approximating a VAR as a state space model (that's what
      my time series professor always told us we were doing but I never
      understood what he meant....), and what is the basic idea/point of
      Kalman filtering? If somebody (or multiple somebodies) would have a
      few minutes to start me off at this very basic level, I would greatly
      appreciate it.

      Thanks everyone - glad to see this group back alive again. =)

      Sanjay
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