Different results for running state space models
Posted: Thu Jan 10, 2019 2:02 pm
Hi,
I am running a state space model (time varying parameter) and trying to plot the smoothed states. I am able to do this. However, when I change the specification, estimate, and then change it back to the EXACT original specification - my estimates are completely different. A concrete example:
Here is what I do:
I load up a workfile with the following specification:
@ename e1
@ename e2
@ename e3
@evar var(e1) = exp(C(1))
@evar var(e2) = exp(C(2))
@evar var(e3) = exp(C(3))
@signal spread_1d = mp1*beta1 + path*beta2 + e1
@state beta1 = beta1(-1) + e2
@state beta2 = beta2(-1) + e3
I then edit the spec and run this:
@ename e1
@ename e2
@ename e3
@evar var(e1) = exp(C(1))
@evar var(e2) = exp(C(2))
@evar var(e3) = exp(C(3))
@signal spread_1d = mp1*beta1 + e1
@state beta1 = beta1(-1) + e2
I then edit the spec and run this:
@ename e1
@ename e2
@ename e3
@evar var(e1) = exp(C(1))
@evar var(e2) = exp(C(2))
@evar var(e3) = exp(C(3))
@signal spread_1d = path*beta1 + e1
@state beta1 = beta1(-1) + e2
and after running the original spec, I cannot get the original estimation results.
Do you have any insight or idea into this? In other words, when I change the specification and re-estimate, I cannot get back the original results. My smoothed estimates are just a flat horizontal line.
Thank you
I am running a state space model (time varying parameter) and trying to plot the smoothed states. I am able to do this. However, when I change the specification, estimate, and then change it back to the EXACT original specification - my estimates are completely different. A concrete example:
Here is what I do:
I load up a workfile with the following specification:
@ename e1
@ename e2
@ename e3
@evar var(e1) = exp(C(1))
@evar var(e2) = exp(C(2))
@evar var(e3) = exp(C(3))
@signal spread_1d = mp1*beta1 + path*beta2 + e1
@state beta1 = beta1(-1) + e2
@state beta2 = beta2(-1) + e3
I then edit the spec and run this:
@ename e1
@ename e2
@ename e3
@evar var(e1) = exp(C(1))
@evar var(e2) = exp(C(2))
@evar var(e3) = exp(C(3))
@signal spread_1d = mp1*beta1 + e1
@state beta1 = beta1(-1) + e2
I then edit the spec and run this:
@ename e1
@ename e2
@ename e3
@evar var(e1) = exp(C(1))
@evar var(e2) = exp(C(2))
@evar var(e3) = exp(C(3))
@signal spread_1d = path*beta1 + e1
@state beta1 = beta1(-1) + e2
and after running the original spec, I cannot get the original estimation results.
Do you have any insight or idea into this? In other words, when I change the specification and re-estimate, I cannot get back the original results. My smoothed estimates are just a flat horizontal line.
Thank you