Estimate ols regressions based on gaussian function

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Reference no: EM132393695

Answer the following Questions:

1- First we estimate OLS regressions based on Gaussian function as many as the observation that we have (if there is 1000 obs, we run OLS 1000 time)

2- We run Kalman filter using state and updated formulas for each of the regression results from step 1.

Generate a coefficient of a linear equation using the Kalman filter. You need the codes for Matlab or in excel.

Please make sure of the following:

the initial formula is:

Y=a + b1X1 + b2X2 + e

You want to generate the b2 as a time series using Kalman filter, so If you have 1000 observations of y, x1, x2, you should have a 1000 observation of b2.

Attachment:- Kalman_Filter.rar

Reference no: EM132393695

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