State space estimation - concentrated diffuse likelihood

[Elderfield.A]

Hi,

In Chapter 2 Durbin and Koopman's Time Series Analysis by State Space Methods, the authors demonstrate that one of the variance for the local level model - the state variance - can be concentrated out of the likelihood. What the authors call the "Concentrated diffuse loglikelihood" is then maximised (page 36 of DK 2nd Edition).

I was wondering if Eviews offers such a functionality with their SS object?

[EViews Glenn]

No. This is easy to do by hand for a specific case but can be tricky to implement in our general interface. It probably could have been done with a fair amount of effort, but our sense at the time, for better or worse, was that our energy would best be spent elsewhere.

But I could certainly be convinced that I was wrong.