Re: .PRG for Kalman Filter
Posted: Thu Mar 19, 2009 3:52 am
..more specifically..
I am trying to locate a generic Eviews program file (.PRG) that broadly replicates the Coincident Indicator work of Stock and Watson
ie estimating the unobserved component (Coincident index) from x observable (quarterly) macroeconomic variables using Kalman Filter/State Space (linear) model.
“A Dynamic Factor Model of Four Coincident Economic Indicators: An Experimental Coincident Index: Based on Stock and Watson (1991)”
I am trying to locate a generic Eviews program file (.PRG) that broadly replicates the Coincident Indicator work of Stock and Watson
ie estimating the unobserved component (Coincident index) from x observable (quarterly) macroeconomic variables using Kalman Filter/State Space (linear) model.
“A Dynamic Factor Model of Four Coincident Economic Indicators: An Experimental Coincident Index: Based on Stock and Watson (1991)”