State space wtih a categorical variable

[motas]

Hey,

I'm using Eviews 7 and I'm trying to compare the forecasts from a standard linear regression with those from a dynamic linear regression (~state space model) for monthly data. Suppose my classic linear model is "y c @expand(month,@droplast)", how can I estimate a state space model with a deterministic monthly component but a stochastic level? When using the Auto-Specification method, Eviews does not accept "@expand(month,@droplast)" I think.

Thank you!

[startz]

You might try hand-coding in the dummy variables, month=1 month=2, etc.