State Space issue

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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pgrign
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Joined: Fri Mar 03, 2017 2:59 am

State Space issue

Postby pgrign » Fri Mar 02, 2018 2:21 am

Hi, I'm trying to estimate a SS model, and it seems to me that, when I try to estimate variance, the values vary significantly according to the coefficient I use. In other words, if in one model I estimate the variance as [var=exp(c(2))], and in the other one as [var=exp(c(20))] the results are completely different, even for the space estimation. I attach a workfile in which I put 3 state space models that have the very same structure and use the very same data, but different completely as the coefficients are different.
Could somebody explain me why that happens?
Many thanks
Attachments
sspace.wf1
(19.31 KiB) Downloaded 17 times

startz
Non-normality and collinearity are NOT problems!
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Re: State Space issue

Postby startz » Fri Mar 02, 2018 7:09 am

One possibility is different starting values in c(2) versus in c(20).

pgrign
Posts: 11
Joined: Fri Mar 03, 2017 2:59 am

Re: State Space issue

Postby pgrign » Fri Mar 02, 2018 8:15 am

Thanks for the answer... I've also thought of that, but even if I try to impose priors I get the same results. I don't understand how the number put in the brackets of c() would change the estimations.

EViews Gareth
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Re: State Space issue

Postby EViews Gareth » Fri Mar 02, 2018 8:25 am

Can you provide the workfile?
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pgrign
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Re: State Space issue

Postby pgrign » Fri Mar 02, 2018 8:32 am

Yes, you may find it in the first post. I attach it again just to be sure :)
Attachments
sspace.wf1
(19.31 KiB) Downloaded 16 times

EViews Gareth
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Re: State Space issue

Postby EViews Gareth » Fri Mar 02, 2018 10:04 am

Sorry, early morning - missed it in the first post.

Anyway, if I open up ss01 and ss02, and estimate both (setting C=1 before estimating each), I obtain identical results.

As Startz said, it is just a starting value issue.
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pgrign
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Joined: Fri Mar 03, 2017 2:59 am

Re: State Space issue

Postby pgrign » Mon Mar 05, 2018 7:10 am

Oh thanks, I've completely misunderstood what startz was saying... now it works fine
Thank you!


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