Imposing parameter restrictions on state sapce models

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Sergio
Posts: 7
Joined: Tue May 19, 2015 1:32 am

Imposing parameter restrictions on state sapce models

Postby Sergio » Fri Oct 18, 2019 4:57 am

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.

EViews Glenn
EViews Developer
Posts: 2620
Joined: Wed Oct 15, 2008 9:17 am

Re: Imposing parameter restrictions on state sapce models

Postby EViews Glenn » Wed Oct 30, 2019 11:31 am

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.

Sergio
Posts: 7
Joined: Tue May 19, 2015 1:32 am

Re: Imposing parameter restrictions on state sapce models

Postby Sergio » Thu Nov 07, 2019 3:47 am

Thanks a lot Glenn. Always very helpful.
S.


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