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Dear all, May I know how Eviews 7 calculate the Kalman Gain? What is the formula? I use the command "@curr_gain" to get the Kalman gain. However, I am not sure how eviews get the values. The Eviews User Guide does not mention about the this. Also, is it we only able to get the Kalman gain ...

Dear all, I wish to produce time-varying coefficients by using state space model & assumed the state variables (the time-varying coefficients) to follow a random walk process. That is: @signal y = sv1+ sv2*x + [var = exp(c(1))] @state sv1 = sv1(-1) + [var = exp(c(2))] @state sv2 = sv2(-1) + [var...

Hi all, I wish to prove that the State space model that allows time-varying coefficient is better than the OLS technique that give us static coefficient. However, the OLS estimation give me better results in terms of AIC, BIC and Loglikelihood for all models. I have read some papers saying that Kalm...

Thanks for your reply. I think I misinterpret the meaning of the manual. If you don't mind, can you explain to me the statements below in Eviews 6 User Guide II, page 390? "In a sspace object, the equation specifications in a signal or state equation do not contain error terms unless specified ...

According to Eveiews 6 User Guide II page 390, section "error and variances", am i right to say that the error term of a state space equation is expressed by using the variance of the prediction residuals? I just worry that I interpret wrongly the meaning of the manual. On top of that, pag...

Hi all, Under the view/state views/graph state series, Eviews can graph the one-step ahead predicted states with +/-2 standard error bands. Is it equivalent to I get the state series from proc/make state series & plot one-step ahead predicted series with one-step ahead predicted series +/-2*one-...

Able to get the result after refer to the previous forum..

Thanks a lot :D

Hi, I am trying the State Space Kalman Filter in Eviews to fit a single series. I encounter a problem that when the series is fitted in a same model but different workfile(the data, equations and setting are exactly the same except I do in different workfile) the results might be very different. Wha...