<t>Thanks for your reply McWulf!Is there any other functions to use in sas/iml to implement the kalman filter.I'd like to implement the CAPM with Time varying parameters. the model is as follows:Ri(t) = alpha_i(t) + beta_i(t)* Rm(t) + E(t)alpha_i(t) = alpha_i(t-1) + u(t)beta_i(t) = beta_i(t-1) + v(t...

<t>Hello, I would like to implement kalman filter when the measurement matrix is time varying. the model is as follows:Yt = Ht * Zt + Et Ht = [ 1 Mt] Zt = Zt-1 + Vt.can anyone tell me how to do this with KALCVF function in iml. My problem is that my Ht is time varying while in KALCVF I need Ht to b...

Hello everybody,Could any one tell me how can I extrat data on common stocks from CRSP via WRDS ( e.g. [1962-2010]?I dont know what to use, cusip? permnco?...What shall I write in the conditional statement??many thanks in advance.vvvvv

Hi, I am looking for alpha that solves the following equation. sum(t:1-->N){(a+alpha*Rt)^(-b))*dt}=0 Could any one tell me how can I solve it with matlab?thanks in advance

<t>Dear All,I am stater PhD student. I am working on market liquidity measurement.Can any one of you tell me how can I get data from bloomberg on dead stocks?My goal is to compute liquidity measures of the NYSE market as a whole for the period 1999-2009.Data I need: Bid, Ask, Volume.....Many thanks ...