I have estimated a state space model similar to: Diebold, Rudebusch, Aruoba (2006): "The macroeconomy and the yield curve: a
dynamic latent factor approach". (You can find the model specification attached)
I would like to compute the Impulse Response Functions, however I have only found an integrated possibility for a VAR, but not for a state space model. Has anyone an idea how I can do this with Eviews ?
Thanks in advanced.
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.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 3 guests