I am attempting to estimate a multivariate state space model using the dlmMLE function in R as part of the dlm library but keep getting the below error.
Error in fit < dlmMLE(Y, parm = c(rep(0, 10)), build = model) :
comparison of these types is not implemented
The specification of the model I am using is:
y1t = At + beta1*Ft + e1t
y2t = a2 + beta2*Ft + e2t
y3t = a3 + beta3*Ft + e3t
Ft = phi1*Ft-1 + phi2*Ft-2 + vt
At = At-1 + wt
where:
- y1, y2 and y3 are the observable variables,
- At is a time varying coefficient modelled as a random walk,
- a2 and a3 are fixed coefficients,
- Ft is a latent factor which follows an AR(2) process.
I have specified the model in R as per below.
model <- function(x) {
FF <- matrix(c(x[1:3],rep(0,3),diag(3)), nr=3)
V <- diag(c(exp(x[4:6])))
TL <- matrix(c(x[7],1,x[8],0),nr=2)
TR <- matrix(c(rep(0,2*3)),nr=2)
BL <- matrix(c(rep(0,2*3)), nc=2)
BR <- diag(3)
GG <- rbind(cbind(TL,TR),cbind(BL,BR))
W <- diag(c(exp(x[9]),0,exp(x[10]),rep(0,2)))
m0 <- rep(0,5)
C0 <- 100*diag(5)
dlm(FF=FF, V=V, GG=GG, W=W, m0=m0,C0=C0)
}
# where x[1:10] correspond to beta[1:3], e[1:3], phi[1:2], v and w, respectively.
fit < dlmMLE(Y, parm=c(rep(0,10)), build=model)
#Y is the matrix containing time series for observable variables y1, y2, y3
When I run the code it executes up to the last line where the dlmMLE function is called and returns the error I mentioned.
I have been struggling to fix this problem for a while now, but can't seem to get the model to work. Could anyone please offer some assistance? It would be much appreciated.
Thanks, Stefan
