Search found 3 matches
- Tue Feb 08, 2011 6:27 pm
- Forum: Estimation
- Topic: Kalman Filter and Missing Values
- Replies: 2
- Views: 4133
Re: Kalman Filter and Missing Values
Thanks for your help Glenn
- Tue Feb 08, 2011 4:22 am
- Forum: Estimation
- Topic: Kalman Filter and Missing Values
- Replies: 2
- Views: 4133
Kalman Filter and Missing Values
Hi, I was wondering if there is any reference material on how Eviews handles missing values in the signal equation. I am estimating common factors on the basis of an unbalanced panel (as in the following paper: http://rbnz.govt.nz/research/discusspapers/dp07_13.pdf). In the paper the missing values ...
- Sun Aug 16, 2009 7:09 pm
- Forum: Programming
- Topic: Kalman filter estimation in Logl object
- Replies: 0
- Views: 2061
Kalman filter estimation in Logl object
Has anyone tried running a simple kalman filter (like a local-linear trend) in the logl object. I know this could easily be done in the State Space object but I am trying to get my head around the background estimation of the filter and am wondering whether it is possible to do in the logl form.