Search found 11 matches

by LaPadre
Fri Sep 29, 2023 1:37 am
Forum: Estimation
Topic: Steady-state Kalman Filter State Covariance
Replies: 0
Views: 61842

Steady-state Kalman Filter State Covariance

Hi, I am working with state space models and would like to calculate the steady-state state covariance matrix. Is there an easy way to do this in Eviews? I see a reference to solving the Riccati equation in an old Eviews 6 manual, so thought there might be a readily available solution. Many thanks, ...
by LaPadre
Wed Apr 26, 2023 8:24 pm
Forum: Estimation
Topic: Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?
Replies: 2
Views: 3343

Re: Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?

Many thanks.
I had read that documentation but failed to note that the tilde definitions used in the likelihood were defined above as the one-step predictions.

Also thanks for the suggestion about replacing with missing values - that would not have occurred to me but is very simple!
by LaPadre
Mon Apr 24, 2023 9:51 pm
Forum: Estimation
Topic: Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?
Replies: 2
Views: 3343

Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?

Hi, When estimating a sspace model, does the MLE routine use the one-step, filtered or smoothed states from the Kalman filter to evaluate the likelihood? I am looking at this in the context of adding individual quarterly dummies into a signal equation. When I do so, the one-step signal prediction re...
by LaPadre
Mon Mar 13, 2023 3:03 pm
Forum: Estimation
Topic: Sspace data members: Kalman state covariance
Replies: 4
Views: 3916

Re: Sspace data members: Kalman state covariance

Thanks. And can you tell me exactly what the smoothed state error covariance @sm_stateerrcov is? In the Kalman filter literature it appears that some papers refer to the state covariance matrix @sm_statecov as the 'state error covariance matrix', so without the formal definition also provided the da...
by LaPadre
Sun Mar 12, 2023 6:34 pm
Forum: Estimation
Topic: Sspace data members: Kalman state covariance
Replies: 4
Views: 3916

Sspace data members: Kalman state covariance

Hi, I am wondering if it is possible to provide more specific details on the data members in sspace objects? Specifically, the state covariances and state error covariances. Am I right in thinking that @curr_statecov and @sm_statecov are equivalent to what is often written as P_{t|t} and P_{t|T}? Fo...
by LaPadre
Fri May 11, 2018 10:43 pm
Forum: Estimation
Topic: Long run restrictions for a structural VAR
Replies: 13
Views: 14238

Re: Long run restrictions for a structural VAR

Fantastic, thanks for the help.
I will go over my identification restrictions more thoroughly and hopefully get some traction on it.
Still very useful to know that my build behaves in this way.
-Alex
by LaPadre
Fri May 11, 2018 12:04 am
Forum: Estimation
Topic: Long run restrictions for a structural VAR
Replies: 13
Views: 14238

Re: Long run restrictions for a structural VAR

Thanks for the reply. As I am using a build provided by my university, it may be difficult to get them to update it. The workfile is attached, along with a screen shot of the output. The code is below. var q3svardiff.ls 1 2 dprod de du ec matrix(4,4) a_chol a_chol.fill 1, NA, NA, NA, 0, 1, NA, NA, 0...
by LaPadre
Thu May 10, 2018 2:43 am
Forum: Estimation
Topic: Long run restrictions for a structural VAR
Replies: 13
Views: 14238

Re: Long run restrictions for a structural VAR

Hi, I am having an issue with a very similar topic. Eviews does not appear to be implementing my restrictions on the long-run F matrix, or S matrix. I have tried specifying it a number of ways (point & click and programming) and it still does not work. That is, the restrictions are stated at the...
by LaPadre
Sun Dec 04, 2016 10:30 pm
Forum: Bug Reports
Topic: Potential Bug in Stochastic Model Options
Replies: 1
Views: 3150

Potential Bug in Stochastic Model Options

Hi, I am building a model object with some behavioural equations and some identities. When setting the stochastic standard deviation of the identities manually using the <[modelname].innov> command I find some odd behaviour. After running my code, when I open the model object and open an identity (t...
by LaPadre
Thu Sep 29, 2016 4:48 pm
Forum: Programming
Topic: group.coint error with exogenous variables
Replies: 0
Views: 6532

group.coint error with exogenous variables

Hi, I am trying to add an exogenous variable (dummy) into an Engle-Granger cointegration test using the group view method. The basic version works fine, but when I add the <@determ dummy> part of the command it results in an error message. gname.coint(method=eg, trend=constant, lag=a, lagtype=aic, p...
by LaPadre
Sun Jul 17, 2016 11:42 pm
Forum: Programming
Topic: ARDL makecoint illegal name error
Replies: 1
Views: 2520

ARDL makecoint illegal name error

Hi, The ARDL process 'makecoint' produces an error message that says the series name is an illegal or reserved name. Even running the three lines of code from the help file produces the same error. wfopen http://www.stern.nyu.edu/~wgreene/Text/Edition7/TableF5-2.txt equation eq02.ardl(deplags=3, reg...

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