Forecasting using Kalman Filter

[jmagomez]

Dear Fellows,

I would ask for your help.

I am developing a VEC Model analyzing Gasoline C Demand. And I am advancing to analyze Subst parameter (ethanol prices divided by gasoline c prices) volatility using Kalman Filter. It's ok for me to analyze the past, but I am trying to FORECAST Gasoline C consumption until December, 2031 using State Space/Kalman Filter. Is it possible?

And our Gasoline in Brazil is called Gasoline C.

The model has the object name "vecm_gasolinareal_subst":

lgasolinac c lsubst lmassasalarialreal

And I developed the state space object called "SSKFGASOLINAREALSUBSTKF".

I attached the file. Please save this file at Eviews5 version. And you can change to another ways using different types of Kalman Filter specifications.

Thanks a lot and Best Regards, Jose.

[jmagomez]

Hi Glenn,

I worked at the file and simplified it. But I am facing a problem, when I try to forecast I do not receive values, it puts NA (Not Available). The object is the SSVARGASOLINAREAL. My final objective is to obtain LgasolinaC forecast using Kalman Filter. Do I have a problem with the model? What would it be?

The file is attached.

Best Regards, José.