Help with Kalman Filter

[jmagomez]

Dear Fellows,

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

Best Regards, Jmagomez.

[trubador]

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]

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.