Page 1 of 1

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)”

Re: .PRG for Kalman Filter

Posted: Mon May 02, 2011 10:01 am
by Abraham Vela
I guess you do not need a PRG file to do this. Actually, you shall be able to do it in a spreadsheet such as Excel!

For your benefit, Eviews has built-in state-spece specifications for kalman Filtering. Therefore, it must be straightforward to replicate the paper by Stock and Watson.

May be what you need is to figure out the appropiate state-space representation for an unobserved components model of the kind presented in the paper of your interest. I suggest you review thw Kalman filter chapter on "Applied Econometric Techniques by Mark P. Taylor , Keith Cuthbertson, Stephen G. Hall Hardcover, Univ of Michigan Pr, ISBN 0472103288". They cover the state-space for the unobserved component model.

I hope this is useful.