### Kalman filter state vector unmatch

Posted:

**Tue Apr 12, 2011 2:19 am**Hello. First time posting.

I was trying to make migration from TSP to Eviews. However, I couldn't reproduce the result of the original TSP program using Kalman filter. I found that the state vectors calculated in TSP and Eviews are different.

Attached please find the Excel file which contains both programs.

Sheet "TSP PGM" contains TSP version, and Sheet "Eviews PGM" contains Eviews version. (Note: This is simplified version of original program, so it contains only one observation.) The state vector calculated by TSP is (-0.06, -0.02, -0.02, 0.44), whereas that of Eviews is (0.2, 0, 0, -0.1). I also calculated the state vector using formula written in wikipedia, and that result matched TSP (see Sheet "Check by Excel").

My Eviews is version 7.1. I would appreciate any information on this matter.

I was trying to make migration from TSP to Eviews. However, I couldn't reproduce the result of the original TSP program using Kalman filter. I found that the state vectors calculated in TSP and Eviews are different.

Attached please find the Excel file which contains both programs.

Sheet "TSP PGM" contains TSP version, and Sheet "Eviews PGM" contains Eviews version. (Note: This is simplified version of original program, so it contains only one observation.) The state vector calculated by TSP is (-0.06, -0.02, -0.02, 0.44), whereas that of Eviews is (0.2, 0, 0, -0.1). I also calculated the state vector using formula written in wikipedia, and that result matched TSP (see Sheet "Check by Excel").

My Eviews is version 7.1. I would appreciate any information on this matter.