## initial conditions in SSPACE

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.

Moderators: EViews Gareth, EViews Moderator

pvalls
Posts: 7
Joined: Wed Oct 22, 2008 5:44 am

### initial conditions in SSPACE

I am estimating the following state space after estimating by ols and want to use as initial conditions for the SSPace the ols residual variance of C(2) and for C(3)
But the @param only allows number but not scalar

equation eq1.ls rcpetrobras_on c rcibovespa
scalar ols_petrobras_pn=eq1.@coef(2)
scalar c1 = eq1.@coef(1)
scalar c2 = (eq1.@se)^2
scalar c3 = c2/2
series beta_ols_petrobras_pn=ols_petrobras_pn
' tvp for petrobras_pn
sspace sspetrobras_pn
sspetrobras_pn.append @signal rcpetrobras_pn = c(1) + sv1*rcibovespa+[var = c(2)]
sspetrobras_pn.append @state sv1 = sv1(-1) + [var = c(3)]
sspetrobras_pn.append @param C(2) c2 C(3) c3
sspetrobras_pn.ml

EViews Glenn
EViews Developer
Posts: 2600
Joined: Wed Oct 15, 2008 9:17 am

### Re: initial conditions in SSPACE

You can just set the values of the C vector outside of the object.

pvalls
Posts: 7
Joined: Wed Oct 22, 2008 5:44 am

### Re: initial conditions in SSPACE

But if you set the C vector outside the State Space Object it will treat it as fixed and I want them as initial conditions

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12113
Joined: Tue Sep 16, 2008 5:38 pm

### Re: initial conditions in SSPACE

No, it won't.

pvalls
Posts: 7
Joined: Wed Oct 22, 2008 5:44 am

### Re: initial conditions in SSPACE

I used the program below and the three parameters are keeped fixed
Also try
vector C(1) = eq414.@coef(1)
vector C(2) = (eq414.@se)^2
vector C(1) = c(2) /2
and get an error
also try without the @param and it did not work

' ols for petrobras_pn
equation eq414.ls rcpetrobras_pn c rcibovespa
scalar ols_petrobras_pn=eq414.@coef(2)
scalar c1 = eq414.@coef(1)
scalar c2 = (eq414.@se)^2
scalar c3 = c2/2
series beta_ols_petrobras_pn=ols_petrobras_pn
' tvp for petrobras_pn
sspace sspetrobras_pn
sspetrobras_pn.append @signal rcpetrobras_pn = c1 + sv1*rcibovespa+[var = exp(c2)]
sspetrobras_pn.append @state sv1 = sv1(-1) + [var = exp(c3)]
sspetrobras_pn.append @param c1 c2 c3
sspetrobras_pn.ml
show sspetrobras_pn