Estimate State Space Models in Time Series Econometrics - Using R
Budget: €18 – €36 EUR
This is an assignment that involves the estimation state space models for time series data. The steps outlined briefly below:
1. I have a dataset containing 5 variables: one is in quarterly frequency and the other 4 is in monthly frequency.
2. I have a set of matrices that builds the state space form of a dynamic factor model.
3. I would like to implement this model in R and extract the common factor.
The work would require expertise in state space models, Kalman filters and time series econometrics.
Mainly an advanced knowledge in R would be needed and understanding of KFAS package in R would be desirable.
I am happy to provide more details like a reference document once we begin discussing further.
Looking forward to collaborating!
1. I have a dataset containing 5 variables: one is in quarterly frequency and the other 4 is in monthly frequency.
2. I have a set of matrices that builds the state space form of a dynamic factor model.
3. I would like to implement this model in R and extract the common factor.
The work would require expertise in state space models, Kalman filters and time series econometrics.
Mainly an advanced knowledge in R would be needed and understanding of KFAS package in R would be desirable.
I am happy to provide more details like a reference document once we begin discussing further.
Looking forward to collaborating!