Search found 11 matches
- Fri Sep 29, 2023 1:37 am
- Forum: Estimation
- Topic: Steady-state Kalman Filter State Covariance
- Replies: 0
- Views: 61950
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, ...
- 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!
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!
- 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...
- Mon Mar 13, 2023 3:03 pm
- Forum: Estimation
- Topic: Sspace data members: Kalman state covariance
- Replies: 4
- Views: 3919
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...
- Sun Mar 12, 2023 6:34 pm
- Forum: Estimation
- Topic: Sspace data members: Kalman state covariance
- Replies: 4
- Views: 3919
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...
- Fri May 11, 2018 10:43 pm
- Forum: Estimation
- Topic: Long run restrictions for a structural VAR
- Replies: 13
- Views: 14244
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
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
- Fri May 11, 2018 12:04 am
- Forum: Estimation
- Topic: Long run restrictions for a structural VAR
- Replies: 13
- Views: 14244
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...
- Thu May 10, 2018 2:43 am
- Forum: Estimation
- Topic: Long run restrictions for a structural VAR
- Replies: 13
- Views: 14244
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...
- 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...
- Thu Sep 29, 2016 4:48 pm
- Forum: Programming
- Topic: group.coint error with exogenous variables
- Replies: 0
- Views: 6534
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...
- 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...