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Dear Fellows,
On what website could I have information about my doubt over forecasting using Kalman Filter? Please, I would like your help.
Best Regards, José.

Dear Fellows, I developed a model using the State Space Object with Kalman Filter, but I am not having success to forecast. What do I have to do? I am sending the Eviews file and the object is called sskfvecmgasrealsubst. The variables are lgasolinac, lmassasalarialreal and lsubst. Please could you ...

Dear Fellows,

I would like to know if anyone knows some steps or a book/file how to use Kalman Filter and State Space Methodology at Eviews.

Best Regards, José.

Dear Vincent and startz, I have a doubt: How do I do to use Kalman Filter at Eviews? I have a multi dinamic regression model as follows: ly c lm ls Could you tell me the steps? Signal and state equations also? Could we use Kalman Filter at VEC Models? Or only at simple models? All my data is until M...

Dear Gareth, I have a doubt: How do I do to use Kalman Filter at Eviews? I have a multi dinamic regression model as follows: ly c lm ls Could you tell me the steps? Signal and state equations also? Could we use Kalman Filter at VEC Models? Or only at simple models? All my data is until May 2014 and ...

Hi Glenn, I worked at the file and simplified it. But I am facing a problem, when I try to forecast I do not receive values, it puts NA (Not Available). The object is the SSVARGASOLINAREAL. My final objective is to obtain LgasolinaC forecast using Kalman Filter. Do I have a problem with the model? W...

Dear Fellows, I would ask for your help. I am developing a VEC Model analyzing Gasoline C Demand. And I am advancing to analyze Subst parameter (ethanol prices divided by gasoline c prices) volatility using Kalman Filter. It's ok for me to analyze the past, but I am trying to FORECAST Gasoline C con...

Dear Fellows, Is this paragraph true? Why is the addition of lagged sales violating strict exogeneity? And why is AR(1) not violating strict exogeneity? "The addition of lagged sales as an independent variable in our setup violates strict exogeneity, which is an essential assumption of Ordinary...

Dear Fellows,

I have two questions:

1) When we run a VAR, we don't have a dynamic feedback system, do we?. Do you know a dynamic feedback system?; and

2) About Trace Test, what is the rule to define the number of cointegrating relationships?

Best Regards, José.

Dear Nishant Vats,

Thanks a lot for all your help! And if you have more material about Kalman Filter, Cointegration and Error correction Models and if you could send me I would appreciate.

Best Regards, José.

Thanks a lot, Nishantvats!

It is a good material and I saw the website, it has a lot of good presentations.

And do you know about Kalman Filter? And how to make it happen with Eviews?

Best Regards, José.

Thanks a lot, Nishanvats.

But what does it mean three cointegrations? Another kind of relation between the variables?

Best Regards, José.

Dear Fellows, I have a question: when we make Johansen Cointegration Test and we get Trace Test indicating three cointegration equations and MaxEigenvalue indicating no cointegration equation. We would prefer the MaxEigenvalue, because it is more tough than Trace test, wouldn't we? And what does it ...

Dear Fellows,

What are the the advantages and the disadvantages between Dynamic Regression and Cointegration?

Best Regards, José.

Dear Fellows,

I made a model with Kalman Filter at Eviews 5, but I am not achieving the goal to obtain the residual series and analyze their properties.

Could you help me? I can send the file.

Best Regards, José.