how to estimate time varying AR

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how to estimate time varying AR

Postby maryameco65 on Fri Dec 03, 2010 3:56 am

Hi
I have to estimate a time varying AR(2)
R(t)=b0(t)+b1*R(t-1)+b2*R(t-2)+e(t)
b1(t)=b1(t-1)+u1(t)
b2(t)=b2(t-1)+u2(t)
how can I define my state space model in eviews?
Thanks
maryameco65
 
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Re: how to estimate time varying AR

Postby trubador on Fri Dec 03, 2010 4:03 am

Please do a simple search in the forum before posting your questions (not to mention the users guide):
viewtopic.php?f=4&t=2719
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Re: how to estimate time varying AR

Postby maryameco65 on Fri Dec 03, 2010 4:26 am

I have seen that post, but when I use this program for estimating, the information for std error-z statistics-prob 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
Attachments
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maryameco65
 
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Re: how to estimate time varying AR

Postby trubador on Fri Dec 03, 2010 4:37 am

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

Postby maryameco65 on Fri Dec 03, 2010 7:44 am

Dear trubador,
I searched but I couldnt fix my problem.
please help me to spesify this model correctly. and solve this my problem
thanks
maryameco65
 
Posts: 15
Joined: Sun Aug 08, 2010 1:42 pm


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