Estimating state space model for GARCH(1,1)

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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EViews Glenn
EViews Developer
Posts: 2672
Joined: Wed Oct 15, 2008 9:17 am

Re: Estimating state space model for GARCH(1,1)

Postby EViews Glenn » Wed Oct 14, 2020 10:22 am

The extended Kalman filter is not supported in EViews.
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zhayin
Posts: 2
Joined: Fri Nov 17, 2023 10:21 pm

Re: Estimating state space model for GARCH(1,1)

Postby zhayin » Mon Jan 15, 2024 10:38 pm

EViews Glenn wrote:The extended Kalman filter is not supported in EViews.



Dear All,

In the current 13 version of EVIEWS, is it now possible to model nonlinear state space for example Extended Kalman Filter or not?
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EViews Glenn
EViews Developer
Posts: 2672
Joined: Wed Oct 15, 2008 9:17 am

Re: Estimating state space model for GARCH(1,1)

Postby EViews Glenn » Wed Jan 24, 2024 2:22 pm

I am sorry, but no.
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