Is KFAS package capable of estimate a state-space model with the specificities of the equations below?
The cited challeging specificities are:
- “Reutilization” of signals errors, as in equation 8.
- Variance restrictions as imposed by equations 10 and 11.
How could those points be writen in terms of the KFAS syntax?
These equations are a general representation of a state-space estimation of some variable gap as used by Areosa (2008), which is an inspiration from Boone (2000). Areosa provides its Eviews code, but the cited challeges are not as easy implemented in R.