I have estimated a state space model with one time varying coefficient and two fixed coefficients. All the coefficients appear to be statistically significant but the the reported final state has a z-statistic with a p-value of 0.67. I am interested in the time variance of the state variable rather than the final state. Therefore I would like to know if the high p-value of the final state renders the entire state series as insignificant as well or can I still interpret the time variance of the state series. I have seen some papers commenting on the graph of state variable despite high p-value of final state. I am a bit confused in this regard.
Thanks in advance for replies.
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