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- Fri Feb 19, 2016 3:58 pm
- Forum: Econometric Discussions
- Topic: Kalman Filter. Rewriting to State Space
- Replies: 0
- Views: 2066
Kalman Filter. Rewriting to State Space
Hi. I am trying to estimate the output gap/potential output using a Kalman filter following Fuentes (2007) . I need to convert the eqautions to a state space model so I can implement it in Eviews. The first part is the basics which is attached as Picture 1 and I have formulated it as: @signal gdp = ...