Impulse Response Function of a State Space Model

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simon
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Joined: Sat Dec 29, 2018 4:45 am

Impulse Response Function of a State Space Model

Postby simon » Sun Dec 30, 2018 2:45 am

Dear all,

I have estimated a state space model similar to: Diebold, Rudebusch, Aruoba (2006): "The macroeconomy and the yield curve: a
dynamic latent factor approach". (You can find the model specification attached)

I would like to compute the Impulse Response Functions, however I have only found an integrated possibility for a VAR, but not for a state space model. Has anyone an idea how I can do this with Eviews ?

Thanks in advanced.
Attachments
eviews code (1).txt
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