Nelson siegel model estimed by Kalman Filter
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Hi, I'm having some trouble in estimating the Nelson Siegel model with the Kalman Filter according to the metodology presented in the paper "The macroeconomy and the yield curve: a dynamic latent factor approach". Can I share some ideas with someone who is familiar with this approach.
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Horace
am 1 Dez. 2013
Hi, I hope you're well.I'm working with the Nelson Siegel model as well.I'm wondering whether you have solved it and how you solved it.Thank you!
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Jonas Striaukas
am 15 Jul. 2014
I have a code, but for me it does not converge when I have Q_t (3x3 measurement error matrix) positive definite and it does if I have diagonal matrix. Maybe someone had the same issue? i think is to do with initializing Kalman filter but not sure..
asma noor
am 3 Jul. 2019
i am also working with nelson siegle model estimated by kalman filter but its complex one anyone there who help me out how i can estimate that command.
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