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I actually need this model as the conditional mean equation for a GARCH model, i.e. ARMAX-GARCH. I assume that this will become very difficult using state space models for the conditional mean?

I'm sorry I don't really understand your state space solution. Could you explain this in more detail?
Thanks!

Thanks a lot! This should solve the problem. However how would I now correctly specify the MA term?

I am trying to model an ARMAX model with both seasonal dummies and a sinusoidal function (see attachment). I currently have the following: "p c x1 x2 x3 x4 x5 @trend sin(@trend*@acos(-1)/365) ar(1) ar(7) ar(14) ma(1)" . where x are the indicator functions. However now I am still missing th...

Can someone help me out with converting a yearly time-series into a 3-yearly time series?

I have a time series with yearly data from 1871 until 2011 and I want to convert this to a 3 yearly time series (i.e. 1871,1874,1877...) by deleting all intermediate years.

Thanks!

That should do it, I'm sorry for the inconvenience!

So what do I do wrong? Here is a screenshot where you can clearly see the spreadsheet from the 13th entry

Here it is!

I found out that the coefficient matrix does give enough entries. With 372 obs and a window of 50 the coef matrix gives 322 entries.
So the only problems I have are with the fcast series.

Dear Esther, I had another look at 4-period-ahead forecast code you helped me with but I think it is still not correct. When running the rolling regression with a window of 20, the spreadsheet gives output from the 13th entry. When adjusting the window this does not change and even with a window of ...

Dear Esther, I have one more question regarding your forecasting model. If I would now like to use a 1-period-ahead forecast rolling regression only, could I simply change the '+2' in '-1' in the following code: ' 4-period-ahead forecast %4pers = @otod(@dtoo(%start)+!i+!window-1) 'start point %4pere...

Thanks!!!

I'm having some difficulty trying to apply the 4-period-ahead forecasts, based on LS equation. I coppied the whole code and made only 2 adjustments. My original series is a monthly stock price index from 1980m01 - 2010m12 (372 obs). The equation I want to forecast is just "P c P(-1)". Ther...

Thanks!

I'm having great difficulty building a series with interest rate r where I need the product from i=1 to t of ( 1+r_i ). Using the comment @prod(x) gives just the total product of the whole series and not a new series where the entry at time t equals the product of the previous entries. Could anyone ...