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Thank you, trubador.

I am not sure if this is a common misunderstanding of the SS notation, maybe it would be a good idea to highlight it on the user guide. I only noticed the behavior because the exogenous variable was a dummy, which made it simpler to interpret.

I am trying to add a dummy variable to a state equation on a state space model. The estimation is successful (in terms of convergence), but the estimated coefficient for the dummy variable is not what I expected it to be. I tried looking at the predicted and filtered states and the only way I can un...

Worked perfectly.

Thanks!

I have estimated an SSpace model using a monthly sample from 2002:01 to 2015:09, but I do have signal data until 2015:11. I would like to estimate the filtered states until 2015:11 using the estimated coefficientes until 2015:09, but it seems that the proc "makestates" allows me to estimat...