Help with Kalman Filter

For econometric discussions not necessarily related to EViews.

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jmagomez
Posts: 68
Joined: Wed Aug 08, 2012 10:24 am

Help with Kalman Filter

Postby jmagomez » Wed Jan 30, 2013 11:55 am

Dear Fellows,

How can I find the best initial parameter of state space models?

Best Regards, Jmagomez.

trubador
Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: Help with Kalman Filter

Postby trubador » Sun Feb 10, 2013 9:38 am

If you are referring to initialization of unknown parameters (coefficients), then you can try other regression methods to determine the domain of values. State initialization is much more difficult and such an approach might not work well as expected. Moreover, EViews can properly handle state initialization most of the time and leaving it as is would be the reasonable thing to do unless you have enough a priori information on initial conditions.

jmagomez
Posts: 68
Joined: Wed Aug 08, 2012 10:24 am

Re: Help with Kalman Filter

Postby jmagomez » Tue Mar 11, 2014 10:50 am

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.


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