Hi Guys,

Im very inexperienced with EViews and was wondering if you could help me with the following problem.

Im conducting a study of time varying autocorrleation in stock markets using 50 years of data from the S&P500.

I took the log first difference of the data, specified the following equation: y c y(-1) and used this to estimate the first order correlation of monthly returns using a rolling regression model.

I would now like to create a time varying AR model using a state space model to show how the AR coefficients vary through time, however I am unsure as how to go about this.

Any help would be greatly appreciated.

Thank you in advance.