Great, thanks!Just create another (random walk) state variable and add it into the signal equation as well: http://forums.eviews.com/viewtopic.php?f=4&t=2226
Search found 2 matches
- Tue May 20, 2014 12:05 pm
- Forum: Estimation
- Topic: State Space for Time-varying index alpha and beta
- Replies: 2
- Views: 2752
Re: State Space for Time-varying index alpha and beta
- Sat May 17, 2014 5:14 am
- Forum: Estimation
- Topic: State Space for Time-varying index alpha and beta
- Replies: 2
- Views: 2752
State Space for Time-varying index alpha and beta
Hey everyone, I was wondering if someone could explain me a few things on creating a State Space model in Eviews with a Kalman Filter. I am trying to replicate the research that has been done in "The Clean Techs equity indexes at stake: Risk and return dynamics analysis" by Ortas and Monev...