Hi
I have to estimate a time varying AR(2)
R(t)=b0(t)+b1*R(t1)+b2*R(t2)+e(t)
b1(t)=b1(t1)+u1(t)
b2(t)=b2(t1)+u2(t)
how can I define my state space model in eviews?
Thanks
how to estimate time varying AR
Moderators: EViews Gareth, EViews Moderator
Re: how to estimate time varying AR
Please do a simple search in the forum before posting your questions (not to mention the users guide):
viewtopic.php?f=4&t=2719
viewtopic.php?f=4&t=2719

 Posts: 15
 Joined: Sun Aug 08, 2010 1:42 pm
Re: how to estimate time varying AR
I have seen that post, but when I use this program for estimating, the information for std errorz statisticsprob is NA.
@signal y = c(1) + ar1*y(1) + ar2*y(2) + [var=exp(c(2))]
@state ar1 = ar1(1) + [var=exp(c(3))]
@state ar2 = ar2(1) + var=exp(c(4))]
the result file attached
@signal y = c(1) + ar1*y(1) + ar2*y(2) + [var=exp(c(2))]
@state ar1 = ar1(1) + [var=exp(c(3))]
@state ar2 = ar2(1) + var=exp(c(4))]
the result file attached
 Attachments

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Re: how to estimate time varying AR
You can find plenty of explanations and solutions to this problem if you search forum. Here is one: viewtopic.php?f=4&t=2384

 Posts: 15
 Joined: Sun Aug 08, 2010 1:42 pm
Re: how to estimate time varying AR
Dear trubador,
I searched but I couldnt fix my problem.
please help me to spesify this model correctly. and solve this my problem
thanks
I searched but I couldnt fix my problem.
please help me to spesify this model correctly. and solve this my problem
thanks
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