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I have 2 other, maybe silly, questions : are the results of the estimation for the coefficient c(1) to c(8) in percent ? and how can I constraint the coefficient c(1) to c(8) to be positiv ?

Thank you for all your help

I have 2 other, maybe silly, questions : are the results of the estimation for the coefficient c(1) to c(8) in percent ? and how can I constraint the coefficient c(1) to c(8) to be positiv ?

Thank you for all your help

Yes I do, I updated it... But the workfile seems to work on the system of a friend of mine.

However, I'd have one last question : how can I specify that my 7 regressors must sum to 1 ?

Thank you again for your help!

Thank you very much for all your help!

Have a nice day

I don't understand why it doesn't work ?!?

Can I abuse of your kindness and ask you the results you get ? Could you post them ?

Thank you very much

I'm truly sorry but I get the same error message... "Missing value found in state variance matrix". Here is my code : @signal CON_AR = sv1*BONDS + sv2*CMDTY + sv3*CREDITS + sv4*EMMB + sv5*EMME + sv6*SP + sv7*USD + [var = exp(c(1))] @state sv1 = sv1(-1) + [var = exp(c(2))] @state sv2 = sv2(...

I'm sorry, I did what you told me but I still get the error message "Missing value found in state variance matrix"...

Can you help me ? I'm really lost.

Thank you very much

Thank you for your answer.

If I'm right, I have to create a Vector with initial values of the variance (zeros in my case) and then insert the the code you gave me instead of "SVAR0" ?

My last row of code will be : @vprior sym SVAR0 = @makediagonal(vars) ?

Thank you again

Hi everyone, I'm sorry to post again a topic on Kalman Filter estimation but I'm really stuck... I'm trying to estimate time varying betas with a kalman filter. I used to work with matlab but I have to use Eviews now and I'm new here... Here is my workfile and the code : @signal CON_AR = sv1*BONDS +...

Hi everyone, I'm still stuck with the same problem... I tried a lot of things but none of them worked... I even tried to add an initial vector and initial matrix but I get another error message (see below). Could anyone run this workfile for me and tell me if it works ? I really need these results b...

no it's not the most recent update... I'll update it and try again.

I'm sorry, I'm really new in Eviews but is "ls" a least square regression ?

It might be a data issue but I have to use these data anyway...

Thank you for your precious help.

I hope it'll work...

Thank you... IHere is my workfile with the code : @signal CON_AR = sv1*BONDS + sv2*CMDTY + sv3*CREDITS + sv4*EMMB + sv5*EMME + sv6*SP + sv7*USD + [var = exp(c(1))] @state sv1 = sv1(-1) + [var = exp(c(2))] @state sv2 = sv2(-1) + [var = exp(c(3))] @state sv3 = sv3(-1) + [var = exp(c(4))] @state sv4 = ...

I'm really sorry but it doesn't work... 1) I type c=0.2 in the command window and hit "enter" to compute it 2) I specify my Sspace using "auto-specification", with a diagonal matrix for signal variance and state variance --> gives me the same code as before 3) I hit "estimat...

I'm sorry but I still get an error message saying that "coefficients not allowed for signal dependent variable in equation "c(1) = 0.2". Here is my code to be clear : c(1) = 0.2 c(2) = 0.2 c(3) = 0.2 c(4) = 0.2 c(5) = 0.2 c(6) = 0.2 c(7) = 0.2 c(8) = 0.2 @signal CONV__ARB_ = sv1*BONDS...

Thank you.

But do I need to specify that I want to estimate c(1),...,c(8) ? If yes, could you tell me where ?

Thank you again