### 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