Hi to everyone,
I'm trying to estimate a quite complex state space model and I've found problems of convergence in the estimation process that could be tackled restricting the value some of the parameters range. Is it possible to impose restrictions of this kind in a SSpace object?
0<x<1 .
Thanks a lot.
S.
Imposing parameter restrictions on state sapce models
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Re: Imposing parameter restrictions on state sapce models
You can reparameterize using the @logistic or other such transformation. Simply replace the current parameter, say C(5), with @logit(C(5)). EViews will estimate the deep unrestricted parameter, while the model sees the restricted value.
Re: Imposing parameter restrictions on state sapce models
Thanks a lot Glenn. Always very helpful.
S.
S.
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