Search found 3 matches

by Mr.Bratwurst
Sat Jun 05, 2010 6:21 pm
Forum: Programming
Topic: Dynamic forecasting with coefficient update in a VEC-model
Replies: 5
Views: 6404

Re: Dynamic forecasting with coefficient update in a VEC-model

I'd love to see the solution as i am facing a similar problem....
anyone?
thx
by Mr.Bratwurst
Wed May 19, 2010 2:24 pm
Forum: Programming
Topic: state space model (unobserved components) -> seasonality
Replies: 1
Views: 2361

Re: state space model (unobserved components) -> seasonality

Hello, now here is my code for the seasonal state space model. The forecasting performance is okay, but the p-values of the coefficients are not as expected. Any suggestions? series y=m+g+e m=trend, g=seasonality, e=irregular seasonality is modeled by using trigonometric terms. I think the starting ...
by Mr.Bratwurst
Tue May 18, 2010 6:50 am
Forum: Programming
Topic: state space model (unobserved components) -> seasonality
Replies: 1
Views: 2361

state space model (unobserved components) -> seasonality

Hello, i am trying to specify a state space (unobserved components) model in EViews 7 for energy consumption on a quarterly basis. I use (or at least i try to do so :) ) the same specification as Koopman and Ooms (2002), http://www.econometricsociety.org/meetings/esem02/cdrom/papers/1267/KoopmanOoms...

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