Question regarding setting an State Space Object in Eviews

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Question regarding setting an State Space Object in Eviews

Postby klotzle » Thu Aug 30, 2018 6:04 pm

Dear Ladies and Gentlemen,
I am trying to estimate a beta herding model in eviews, based on the study of Hwang and Salmon (2004).
Basicaly my measurement and transition equations are as follows (see attached pdf):

log⁡[Std(β_imt^b )]=µ_m+H_mt+υ_mt

H_mt=〖∅_m H〗_(mt-1)+η_mt

I am trying to implement these equations in eviews using following code:

@signal ret_log=c(1) +SV1+[var=exp(c(2))]

@state SV1=c(3)*SV1(-1)+[var=exp(c(4))]

where ret_log is my dependent variable, but there is now convergence.

Could you help me in this issue?

Kind regards,

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